*********************************
There is now a CONTENT FREEZE for Mercury while we switch to a new platform. It began on Friday, March 10 at 6pm and will end on Wednesday, March 15 at noon. No new content can be created during this time, but all material in the system as of the beginning of the freeze will be migrated to the new platform, including users and groups. Functionally the new site is identical to the old one. webteam@gatech.edu
*********************************
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.
