Generalized Linear Mixed Models in Portfolio Credit Risk Modelling

Abstract

This paper introduces Generalized Linear Mixed Models (GLMMs), a well-known concept in statistics, to the world of portfolio credit risk modelling. A crucial point is that of dependence among default events and in the GLMM setting this is accomplished with so-called random effects. Default probabilities or default intensities are modelled as a result of… (More)

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Cite this paper

@inproceedings{McNeil2003GeneralizedLM, title={Generalized Linear Mixed Models in Portfolio Credit Risk Modelling}, author={Alexander J. McNeil and Jonathan Wendin}, year={2003} }