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date: 04 August 2020

Abstract and Keywords

This article, which introduces the basic ideas of Cox's original proportional model for the hazard rates and extends the model within a general framework of statistical data mining procedures, is organized as follows. Section 2 introduces various statistical data mining procedures for (generalised) Cox regression with time-independent covariates (for cross-sectional type data). Section 3 deals with time-dependent covariates. Section 4 presents an example of using statistical factors to explain the default arrival intensities and to generate trading signals. The idea is quite general and can be extended to make other forms of factor models for credit derivatives. Concluding remarks are given in Section 5.

Keywords: Cox, proportional model, hazard rates, statistical data mining, time-dependent covariates

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