In 11 Minuten: Das System wird zu Wartungszwecken heruntergefahren. Bitte speichern Sie Ihre Arbeit und melden Sie sich ab.

Credit risk modeling based on survival analysis with immunes

Zitieren

Dateien zu dieser Ressource

Dateien Größe Format Anzeige

Zu diesem Dokument gibt es keine Dateien.

BERAN, Jan, Abdel-Yazid Karim DJAÏDJA, 2007. Credit risk modeling based on survival analysis with immunes. In: Statistical Methodology. 4(3), pp. 251-276. ISSN 1572-3127. Available under: doi: 10.1016/j.stamet.2006.09.001

@article{Beran2007Credi-27579, title={Credit risk modeling based on survival analysis with immunes}, year={2007}, doi={10.1016/j.stamet.2006.09.001}, number={3}, volume={4}, issn={1572-3127}, journal={Statistical Methodology}, pages={251--276}, author={Beran, Jan and Djaïdja, Abdel-Yazid Karim} }

<rdf:RDF xmlns:dcterms="http://purl.org/dc/terms/" xmlns:dc="http://purl.org/dc/elements/1.1/" xmlns:rdf="http://www.w3.org/1999/02/22-rdf-syntax-ns#" xmlns:bibo="http://purl.org/ontology/bibo/" xmlns:dspace="http://digital-repositories.org/ontologies/dspace/0.1.0#" xmlns:foaf="http://xmlns.com/foaf/0.1/" xmlns:void="http://rdfs.org/ns/void#" xmlns:xsd="http://www.w3.org/2001/XMLSchema#" > <rdf:Description rdf:about="https://kops.uni-konstanz.de/rdf/resource/123456789/27579"> <dcterms:available rdf:datatype="http://www.w3.org/2001/XMLSchema#dateTime">2014-04-16T08:12:31Z</dcterms:available> <dc:language>eng</dc:language> <foaf:homepage rdf:resource="http://localhost:8080/jspui"/> <dcterms:issued>2007</dcterms:issued> <dc:creator>Beran, Jan</dc:creator> <dc:creator>Djaïdja, Abdel-Yazid Karim</dc:creator> <dcterms:abstract xml:lang="eng">Statistical modeling of credit risk for retail clients is considered. Due to the lack of detailed updated information about the counterparty, traditional approaches such as Merton’s firm-value model, are not applicable. Moreover, the credit default data for retail clients typically exhibit a very small percentage of default rates. This motivates a statistical model based on survival analysis under extreme censoring for the time-to-default variable. The model incorporates the stochastic nature of default and is based on incomplete information. Consistency and asymptotic normality of maximum likelihood estimates of the parameters characterizing the time-to-default distribution are derived. A criterion for constructing confidence ellipsoids for the parameters is obtained from the asymptotic results. An extended model with explanatory variables is also discussed. The results are illustrated by a data example with 670 mortgages.</dcterms:abstract> <dcterms:title>Credit risk modeling based on survival analysis with immunes</dcterms:title> <dc:rights>terms-of-use</dc:rights> <dcterms:rights rdf:resource="https://kops.uni-konstanz.de/page/termsofuse"/> <dc:contributor>Beran, Jan</dc:contributor> <dspace:isPartOfCollection rdf:resource="https://kops.uni-konstanz.de/rdf/resource/123456789/39"/> <dc:date rdf:datatype="http://www.w3.org/2001/XMLSchema#dateTime">2014-04-16T08:12:31Z</dc:date> <bibo:uri rdf:resource="http://kops.uni-konstanz.de/handle/123456789/27579"/> <dcterms:isPartOf rdf:resource="https://kops.uni-konstanz.de/rdf/resource/123456789/39"/> <void:sparqlEndpoint rdf:resource="http://localhost/fuseki/dspace/sparql"/> <dc:contributor>Djaïdja, Abdel-Yazid Karim</dc:contributor> <dcterms:bibliographicCitation>Statistical Methodology ; 4 (2007), 3. - S. 251-276</dcterms:bibliographicCitation> </rdf:Description> </rdf:RDF>

Das Dokument erscheint in:

KOPS Suche


Stöbern

Mein Benutzerkonto