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...

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Auteurs principaux:	Nikita Moiseev, Aleksander Sorokin, Natalya Zvezdina, Alexey Mikhaylov, Lyubov Khomyakova, Mir Sayed Shah Danish
Format:	Artigo
Langue:	Inglês
Publié:	MDPI AG 2021-09-01
Collection:	Mathematics
Sujets:	default probability scoring model logistic regression time-varying parameters time series forecasting ARIMA
Accès en ligne:	https://www.mdpi.com/2227-7390/9/19/2423
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