Open AccessOn probability of default and its relation to observed default frequency and a common factor
Author(s) -
Brent Oeyen,
Oliver Salazar Celis
Publication year - 2019
Publication title -
the journal of credit risk
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.259
H-Index - 10
eISSN - 1755-9723
pISSN - 1744-6619
DOI - 10.21314/jcr.2019.253
Subject(s) - vasicek model , probability of default , portfolio , econometrics , computer science , factor analysis , calibration , credit risk , mathematics , statistics , economics , actuarial science , finance , bond
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