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Statistical analysis for credit risk modelling

Tenconi, Paolo ; Mira, Antonietta (Dir.)

Thèse de doctorat : Università della Svizzera italiana, 2008 ; 2008ECO008.

The main purpose of the thesis is the prediction of default events for small and medium size companies, by developing useful techniques able to cope with some issues related to anomalies often present in this kind of data, such as rare events and aberrant observations. To treat rare events the Bayesian paradigm is used through Markov Chain Monte Carlo techniques, also adopting the zero...

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Bayesian analysis for mixtures of autoregressive components with application to financial market volatility

Sampietro, Stefano ; Arbia, Giuseppe (Dir.)

Thèse de doctorat : Università della Svizzera italiana, 2004 ; 2004ECO004.

This thesis presents a Bayesian analysis of a non-linear time series model. In particular, we deal with a mixture of normal distributions whose means are linear functions of the past values of the observed variable. Since the component densities of the mixture can be viewed as the conditional distributions of different Gaussian autoregressive models, the model is referred as mixture of...

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