Context
Flagship publication
Can hierarchical models deliver stable default estimates when panel data suffers informative missingness?
Abstract
Hierarchical models applied to longitudinal credit data with emphasis on interpretability, calibration and out-of-sample stability.
I · Context
Can hierarchical models deliver stable default estimates when panel data suffers informative missingness?
II · System
System boundary
System under study
- Panel Credit Risk Modeling
In scope: Panel Data · Bayesian · Risk
Out of scope: TBD
IV · Outcome
Status
Completed
Quantitative Finance