Show Summary Details

Page of

PRINTED FROM OXFORD HANDBOOKS ONLINE (www.oxfordhandbooks.com). © Oxford University Press, 2018. All Rights Reserved. Under the terms of the licence agreement, an individual user may print out a PDF of a single chapter of a title in Oxford Handbooks Online for personal use (for details see Privacy Policy and Legal Notice).

date: 18 July 2019

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

Access to the complete content on Oxford Handbooks Online requires a subscription or purchase. Public users are able to search the site and view the abstracts and keywords for each book and chapter without a subscription.

Please subscribe or login to access full text content.

If you have purchased a print title that contains an access token, please see the token for information about how to register your code.

For questions on access or troubleshooting, please check our FAQs, and if you can''t find the answer there, please contact us.