Essays about: "Felix Bogren"

Found 1 essay containing the words Felix Bogren.

  1. 1. Estimating the Term Structure of Default Probabilities for Heterogeneous Credit Porfolios

    University essay from KTH/Matematisk statistik

    Author : Felix Bogren; [2015]
    Keywords : ;

    Abstract : The aim of this thesis is to estimate the term structure of default probabilities for heterogeneous credit portfolios. The term structure is defined as the cumulative distribution function (CDF) of the time until default. Since the CDF is the complement of the survival function, survival analysis is applied to estimate the term structures. READ MORE