Related papers: Defining, Estimating and Using Credit Term Structu…
We address the so-called calibration problem which consists of fitting in a tractable way a given model to a specified term structure like, e.g., yield or default probability curves. Time-homogeneous jump-diffusions like Vasicek or…
Life expectancy have been increasing over the past years due to better health care, feeding and conducive environment. To manage future uncertainty related to life expectancy, various insurance institutions have resolved to come up with…
This article introduces a new mathematical concept of illiquidity that goes hand in hand with credit risk. The concept is not volume- but constraint-based, i.e., certain assets cannot be shorted and are ineligible as num\'eraire. If those…
Credit ratings are widely used by investors as a screening device. We introduce and study several natural notions of risk consistency that promote prudent investment decisions in the framework of Choquet rating criteria. Three closely…
Basic propensity score methodology is designed to balance multivariate pre-treatment covariates when comparing one active treatment with one control treatment. Practical settings often involve comparing more than two treatments, where more…
This paper discusses the effect of measurement errors in the estimation of the carbon dioxide (CO$_2$) airborne fraction. We are the first to present regression-based estimates and standard errors that are robust to measurement errors for…
A confidence sequence (CS) is a sequence of confidence sets that contains a target parameter of an underlying stochastic process at any time step with high probability. This paper proposes a new approach to constructing CSs for means of…
We provide two novel adaptive-rate compressive sensing (CS) strategies for sparse, time-varying signals using side information. Our first method utilizes extra cross-validation measurements, and the second one exploits extra low-resolution…
Conformal predictive systems allow forecasters to issue predictive distributions for real-valued future outcomes that have out-of-sample calibration guarantees. On a more abstract level, conformal prediction makes use of in-sample…
Explicit robust hedging strategies for convex or concave payoffs under a continuous semimartingale model with uncertainty and small transaction costs are constructed. In an asymptotic sense, the upper and lower bounds of the cumulative…
In this note we show how to replicate a stylized CDS with a repurchase agreement and an asset swap. The latter must be designed in such a way that, on default of the issuer, it is terminated with a zero close-out amount. This break clause…
During recent years the counterparty risk subject has received a growing attention because of the so called Basel Accord. In particular the Basel III Accord asks the banks to fulfill finer conditions concerning counterparty credit exposures…
This paper considers mutual obligations in the interconnected bank system and analyzes their influence on joint and marginal survival probabilities as well as CDS and FTD prices for the individual banks. To make the role of mutual…
We introduce an interleaving operational semantics for describing the client-observable behaviour of atomic transactions on distributed key-value stores. Our semantics builds on abstract states comprising centralised, global key-value…
We propose a unifying framework for the pricing of debt securities under general time-inhomogeneous short-rate diffusion processes. The pricing of bonds, bond options, callable/putable bonds, and convertible bonds (CBs) is covered. Using…
We provide new theoretical results in the field of inverse regression methods for dimension reduction. Our approach is based on the study of some empirical processes that lie close to a certain dimension reduction subspace, called the…
The paper analyzes the mathematics of the relationship between the default risk and yield-to-maturity of a coupon bond. It is shown that the yield-to-maturity is driven not only by the default probability and recovery rate of the bond but…
Training classification models on imbalanced data tends to result in bias towards the majority class. In this paper, we demonstrate how variable discretization and cost-sensitive logistic regression help mitigate this bias on an imbalanced…
We propose a model for the credit markets in which the random default times of bonds are assumed to be given as functions of one or more independent "market factors". Market participants are assumed to have partial information about each of…
This paper considers general term structure models like the ones appearing in portfolio credit risk modelling or life insurance. We give a general model starting from families of forward rates driven by infinitely many Brownian motions and…