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Kolmogorov–Smirnov‐type testing for the partial homogeneity of Markov processes—with application to credit risk

Kolmogorov–Smirnov‐type testing for the partial homogeneity of Markov processes—with application to credit risk

Abstract In banking, the default behaviour of the counterpart is not only of interest for the pricing of transactions under credit risk but also for the assessment of a portfolio credit risk. We develop a test against the hypothesis that default intensities are chronologically constant within a group of similar …