2 papers
stat.ME2023
A Modelling Framework for Regression with Collinearity
Takeaki Kariya, Hiroshi Kurata, Takaki Hayashi
This study addresses a fundamental, yet overlooked, gap between standard theory and empirical modelling practices in the OLS regression model $\boldsymbol{y}=\boldsymbol{Xβ}+\bolds…
q-fin.PR2012
A CB (corporate bond) pricing probabilities and recovery rates model for deriving default probabilities and recovery rates
Takeaki Kariya
In this paper we formulate a corporate bond (CB) pricing model for deriving the term structure of default probabilities (TSDP) and the recovery rate (RR) for each pair of industry…