Bayesian logit model in Psychometric or Behavioural Testing for Credit Scoring in Developing Countries
A lot of parameters in one title, I know. So there's credit scoring but not using credit history. Then there's using a Bayesian logit model. Then there's doing so in a developing country such as Haiti ...
I have a portfolio of bonds and CDS's. I want to compute some statistical measures (VaR, CVaR, CreditVaR) which may help access the risk of the portfolio. So far, I have used the CreditMetrics (...