dataРThe Kramers–Moyal coefficients were calculated according to Eqs. (5) and (6). The timescale was divided into half-open intervalsРassuming that the Kramers–Moyal coefficients are constant with respect to the timescaleτin each of these subintervals of the timescale. The smallest timescale considered was 240 s and all larger scales were chosen such that τi=0.9*τi+1. The Kramers–Moyal coefficients themselves were parameterised in the following form:РThis result shows that the rich plex structure of financial data, expressed by multi-scale statistics, can be pinned down to coefficients with a relatively simple functional form.Р10. DiscussionР Credit risk is most simply defined as the potential that a bank borrower or counter-party will fail to meet its obligations in accordance with agreed
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