Bayesian inference for generalized linear mixed models of portfolio credit risk
By Alexander J. McNeil, Jonathan Wendin. 2007
209 citations recorded by the source corpus.
Subfields: Economics and Econometrics, Finance, Statistics and Probability
View Paper: https://www.semanticscholar.org/paper/75d63a0617bb975b5534c4d719a77a0adac66044
How researchers see this paper
The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.
In Economics and Econometrics
- S. J. Koopman
- André Lucas
- Cornelis W. Oosterlee
- Xinzheng Huang
- B. Schwaab
- Jonathan Wendin
- Alexander J. McNeil
- Marco Gaboardi
In Finance
- André Lucas
- S. J. Koopman
- B. Schwaab
- Cornelis W. Oosterlee
- Xinzheng Huang
- Jonathan Wendin
- Alexander J. McNeil
- Andrew J. Patton
In Statistics and Probability
- André Lucas
- S. J. Koopman
- B. Schwaab
- Jonathan Wendin
- Alexander J. McNeil
- Cornelis W. Oosterlee
- Xinzheng Huang
- Di Wang
Citations in the corpus
- Estimating Smooth GLM in Non-interactive Local Differential Privacy Model with Public Unlabeled Data (2019, background): “[24] Alexander J McNeil and Jonathan P Wendin.”
- Modeling frailty-correlated defaults using many macroeconomic covariates (2011, methodology): “In a firm value model, firm i defaults at time t when its asset value Vit drops below some threshold ci, see Merton (1974) and Black and Cox (1976).”
- Dependent Credit Migrations (2006, methodology): “This is a standard vague prior for a scaling parameter, see McNeil and Wendin (2005).”
- Actuarial statistics with generalized linear mixed models (2007, unknown): “where log(„ij) = log(Payrollij) + fl0 + bi;0 ( 25 )”
- Generalized beta regression models for random loss given default (2008, methodology): “Other applications of the GLMM for portfolio credit default and migration risk can be found in McNeil and Wendin (2006, 2007).”