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Credit Risk Theoretical Model on the Base of DCC-GARCH in Time-Varying Parameters Framework

The research paper is devoted to developing a mathematical approach for dealing with time-varying parameters in rolling window logit models for credit risk assessment. Forecasting coefficients yields a better model accuracy than a trivial approach of using computed past statistics parameters for the...

Celý popis

Uloženo v:
Hlavní autoři: Nikita Moiseev, Aleksander Sorokin, Natalya Zvezdina, Alexey Mikhaylov, Lyubov Khomyakova, Mir Sayed Shah Danish
Médium: Artigo
Jazyk:Inglês
Vydáno: MDPI AG 2021-09-01
Edice:Mathematics
Témata:
default probability
scoring model
logistic regression
time-varying parameters
time series forecasting
ARIMA
On-line přístup:https://www.mdpi.com/2227-7390/9/19/2423
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