Faculty Candidate Seminar

Event Details
  • Date/Time:
    • Tuesday February 12, 2013
      10:00 am - 11:00 am
  • Location: ISyE Executive Classroom
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Summary Sentence: Faculty Candidate Seminar

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TITLE: Filtered Likelihood for Point Processes and Applications in Credit Risk

SPEAKER: Gustavo Schwenkler

ABSTRACT:

We develop likelihood estimators of the parameters of a marked point process and of incompletely observed explanatory factors that influence the arrival intensity and mark distribution. We provide conditions guaranteeing consistency and asymptotic normality as the sample period grows. We also establish an approximation to the likelihood and analyze the convergence and asymptotic properties of the associated estimators. We apply these estimators in an empirical study of the sources of corporate default clustering in the United States. Both frailty and contagion, by which the default by one firm has a direct impact on the health of other firms, are significant sources of default clustering between 1970 and 2010. These findings have important implications for risk management and the regulation of financial markets.

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H. Milton Stewart School of Industrial and Systems Engineering (ISYE)

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Seminar/Lecture/Colloquium
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Status
  • Created By: Anita Race
  • Workflow Status: Published
  • Created On: Jan 24, 2013 - 6:18am
  • Last Updated: Oct 7, 2016 - 10:02pm