Articles by Christoph Frei
Bayesian clustering for portfolio credit risk
The authors put forward a Bayesian clustering model for constructing homogeneous risk buckets directly from loan credit histories which assigns weighted memberships across multiple clusters.
Moment estimators for autocorrelated time series and their application to default correlations
In this paper, the authors analyze how autocorrelation affects MoM estimators commonly used in the industry to determine the latent asset return correlation, and propose a new estimator that includes correction terms to account for the autocorrelation…