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信用传染违约Aalen加性风险模型
田军; 周勇
2012
Source Publication应用数学学报
ISSN0254-3079
Volume035Issue:003Pages:408
Abstract本文考虑了基于加性风险模型的信用风险违约预报模型,不但考虑了宏观因素和公司个体因素,并且通过引入行业因素来刻画公司间可能存在的不同于宏观因素的信用传染效应,由此克服了以往模型对违约相关性的低估.本文在参数加性风险模型下给出极大似然估计及渐近性,提出两种估计方法并比较二者表现,得到最优权估计更加有效.同时本文还考虑了半参数的风险模型,并基于鞅的估计方程得到其估计及渐近性,均得到不错的结果.
Language英语
Document Type期刊论文
Identifierhttp://ir.amss.ac.cn/handle/2S8OKBNM/43965
Collection应用数学研究所
Affiliation中国科学院数学与系统科学研究院
Recommended Citation
GB/T 7714
田军,周勇. 信用传染违约Aalen加性风险模型[J]. 应用数学学报,2012,035(003):408.
APA 田军,&周勇.(2012).信用传染违约Aalen加性风险模型.应用数学学报,035(003),408.
MLA 田军,et al."信用传染违约Aalen加性风险模型".应用数学学报 035.003(2012):408.
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