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Bayesian modelling of credit risk using integrated nested Laplace approximations

Wilhelmsen, Mathilde; Dimakos, Xeni Kristine; Husebø, Tore Anders; Fiskaaen, Marit

February 04, 2009

SAMBA

  • Filename: 4949/Wilhelmsen_-_Bayesian_modelling_of_credit_risk_using_integrated.pdf
  • Areas: Finance, insurance and commodity markets
  • Keywords: Bayesian logistic regression, credit risk, INLA, Markov chain monte carlo
  • Page(s): 25
  • Name and number of project: SIP MASC 220363
  • Title: Bayesian modelling of credit risk using integrated nested Laplace approximations
  • Author(s): Wilhelmsen, Mathilde; Dimakos, Xeni Kristine; Husebø, Tore Anders; Fiskaaen, Marit
  • Report number: SAMBA/47/08
  • Published date: February 04, 2009

 

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Postal address: Norsk Regnesentral/Norwegian Computing Center, P.O. Box 114 Blindern, NO-0314 Oslo, Norway
Visit address: Norsk Regnesentral, Gaustadalleen 23a, Kristen Nygaards hus, NO-0373 Oslo.
Phone: (+47) 22 85 25 00
AddressHow to get to NR