Validation of PARX Models for Default Count Prediction.The growing importance of financial technology platforms, based on interconnectedness, makes necessary the development of credit risk measurement models that properly take contagion into account.  To shed light on the usefulness of our approach, we apply Poisson autoregressive models with exogenous covariates (PARX) to the quarterly count of defaulted loans among Italian real estate and construction companies, comparing the performance of several specifications. 
PARX
On the one hand, we provide an application of Poisson autoregressive stochastic processes to default data with the aim of investigating credit contagion; on the other hand, focusing on the validation aspects, we assess the performance of these models in terms of predictive accuracy using both the standard metrics and a recently developed criterion, whose main advantage is being not dependent on the type of predicted variable. 
Poisson autoregressive stochastic processes