The proposed methods have important applications in the setting of credit risk. For example, the model for the default correlation through regularization can be used to price credit basket products, and the frailty factor models can explain the contagion effects in the defaults of multiple firms in the credit market.
Wei, Z. (2008), "Data mining procedures in generalized Cox regressions", Fouque, J., Fomby, T. and Solna, K. (Ed.) Econometrics and Risk Management (Advances in Econometrics, Vol. 22), Emerald Group Publishing Limited, Bingley, pp. 159-194. https://doi.org/10.1016/S0731-9053(08)22007-4Download as .RIS
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