政大機構典藏-National Chengchi University Institutional Repository(NCCUR):Item 140.119/62445

English | 正體中文 | 简体中文 | Post-Print筆數 : 27 | Items with full text/Total items : 109952/140887 (78%)
Visitors : 46292700 Online Users : 1840

RC Version 6.0 © Powered By DSPACE, MIT. Enhanced by NTU Library IR team.

Home ‧ Login ‧ Upload ‧ Help ‧ About ‧ Administer

政大典藏 > College of Commerce > Department of Statistics > Periodical Articles > Item 140.119/62445

Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/62445

Title:	Bayesian Inference for credit Risk with Serially Dependent Factor Model
Authors:	張揖平;游智惇;劉惠美 Chang, Yi-Ping;Yu, Chih-Tun;Liu, Huimei
Contributors:	政大統計系
Keywords:	Default probability;Asset correlation;Serially dependent factor model;Bayesian inference
Date:	2011-06
Issue Date:	2013-12-12 18:08:47 (UTC+8)
Abstract:	Default probability and asset correlation are key factors in determining credit default risk in loan portfolios. Therefore, many articles have been devoted to the study in quantifying default probability and asset correlation. However, the classical estimation methods (e.g. MLE) usually use only historical data and often underestimate the default probability in special situations, such as the occurrence of a financial crisis. By contrast, the Bayesian method is seen to be a more viable alternative to solving such estimation problems. In this paper, we consider the Bayesian approach by applying Markov chain Monte Carlo (MCMC) techniques in estimating default probability and asset correlation under serially dependent factor model. The empirical results and out-of-sample forecasting for S&P default data provide strong evidence to support that the serially dependent factor model is reliable in determining credit default risk.
Relation:	International Journal of Information and Management Sciences, 22(2), 135-155
Data Type:	article
Appears in Collections:	[Department of Statistics] Periodical Articles

Files in This Item:

File	Description	Size	Format
135155.pdf		686Kb	Adobe PDF2	1348	View/Open

社群 sharing

著作權政策宣告 Copyright Announcement

1.本網站之數位內容為國立政治大學所收錄之機構典藏，無償提供學術研究與公眾教育等公益性使用，惟仍請適度，合理使用本網站之內容，以尊重著作權人之權益。商業上之利用，則請先取得著作權人之授權。
The digital content of this website is part of National Chengchi University Institutional Repository. It provides free access to academic research and public education for non-commercial use. Please utilize it in a proper and reasonable manner and respect the rights of copyright owners. For commercial use, please obtain authorization from the copyright owner in advance.

2.本網站之製作，已盡力防止侵害著作權人之權益，如仍發現本網站之數位內容有侵害著作權人權益情事者，請權利人通知本網站維護人員(nccur@nccu.edu.tw)，維護人員將立即採取移除該數位著作等補救措施。
NCCU Institutional Repository is made to protect the interests of copyright owners. If you believe that any material on the website infringes copyright, please contact our staff(nccur@nccu.edu.tw). We will remove the work from the repository and investigate your claim.

Loading...