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- W2551904857 abstract "We propose a new multi-factor dynamic credit risk model of the default rate (DR) and the loss given default (LGD). The evolution of factors underlying the DR and the LGD is assumed to be ruled by a non-linear vector AR process with lagged DR and LGD and their non-linear transformations. We apply our new model on real data and show its signicance." @default.
- W2551904857 created "2016-11-30" @default.
- W2551904857 creator A5012475007 @default.
- W2551904857 date "2013-01-01" @default.
- W2551904857 modified "2023-09-27" @default.
- W2551904857 title "Non-linear Multi-factor Model" @default.
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- W2551904857 hasPublicationYear "2013" @default.
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