Giuseppe Missaglia

BNL

Rome

Italy

SCHOLARLY PAPERS

2

DOWNLOADS

291

SSRN CITATIONS

0

CROSSREF CITATIONS

0

Scholarly Papers (2)

1.

Dynamic Factor Analysis of Industry Sector Default Rates and Implication for Portfolio Credit Risk Modelling

Number of pages: 27 Posted: 22 Jun 2007
Andrea Cipollini and Giuseppe Missaglia
University of Palermo - d/SEAS and BNL
Downloads 291 (105,140)

Abstract:

Loading...

Factor Model, Forecasting, Stochastic Simulation, Risk Management, Banking

Forecasting Industry Sector Default Rates through Dynamic Factor Models

Journal of Risk Model Validation, Vol. 2, No. 3, Fall 2008
Posted: 19 May 2009
Giuseppe Missaglia and Andrea Cipollini
BNL and University of Palermo - d/SEAS

Abstract:

Loading...

Dynamic Factor Model, Forecasting, Stochastic Simulation, Risk Management, Banking

Forecasting Industry Sector Default Rates through Dynamic Factor Models

Journal of Risk Model Validation, Vol. 2, No. 3, Fall 2008
Posted: 19 May 2009
Giuseppe Missaglia and Andrea Cipollini
BNL and University of Palermo - d/SEAS

Abstract:

Loading...

Dynamic Factor Model, Forecasting, Stochastic Simulation, Risk Management, Banking