Article

Statistical data mining procedures in generalized cox regressions

Zhen Wei

in The Oxford Handbook of Credit Derivatives

Published in print January 2011 | ISBN: 9780199546787
Published online September 2012 | | DOI: http://dx.doi.org/10.1093/oxfordhb/9780199546787.013.0005

Series: Oxford Handbooks in Finance

 Statistical data mining procedures in generalized cox regressions

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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

Article.  15716 words. 

Subjects: Economics ; Financial Markets ; Econometric and Statistical Methods and Methodology: General

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