Serving as both a student textbook and a professional reference/handbook, this volume
explores the statistical methods of examining time intervals between successive state transitions …

In this chapter we consider models which take the special structure of qualitative panel data
into consideration. Models for qualitative dependent variables in cross-section analysis are …

Among the most crucial input parameters for credit portfolio risk models are the co-movements
of default risks. Due to limited empirical evidence about the magnitude of correlations the …

<p>The present paper deals with the identification and maximum likelihood estimation of
systems of linear stochastic differential equations using panel data. So we only have a sample …

In addition to “classical” approaches, such as the Gaussian CreditMetrics or Basel II model,
recently the use of other copulas has been proposed in the area of credit risk for modeling …

Approaches for modeling and estimating individual credit risk have been considerably
improved during the last years, and latterly practitioners and researchers in the banking industry …

General models for multiple‐spell duration data are considered. A general theory which
indicates how the successive spells of an individual are generated by an underlying stochastic …

This paper deals with the identification and maximum likelihood estimation of the parameters
of a stochastic differential equation from discrete time sampling. Score function and …

… Mehrdimensionale Zufallsvariablen und Verteilungen Ludwig Fahrmeir und Alfred
Hamerle 1. Verteilungsfunktionen und Dichten 1.1 Gemeinsame Verteilungsfunktionen und …

The recent financial crisis has shown the relevance of macroeconomic factors for forecasting
and stress testing credit portfolio models. Despite this, most banks still work with a through-…