A credit risk model with dynamic frailties for default intensity estimation

Asia Pacific Management Review

Volumn 13, Issue 3, 2008, Pages 557-566

  Lee, Chih Wei ^a   Chang, Ming Jen ^b  

^a NATIONAL TAIPEI UNIVERSITY OF BUSINESS   (Taiwan)

^b NATIONAL DONG HWA UNIVERSITY   (Taiwan)

Author keywords

Doubly stochastic; Frailty; Proportional hazard model; Reduced form model

Indexed keywords

EID: 84908613129     PISSN: 10293132     EISSN: None     Source Type: Journal    
DOI: None     Document Type: Article

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