Related papers: Defining, Estimating and Using Credit Term Structu…
The paper studies derivative asset analysis in structural credit risk models where the asset value of the firm is not fully observable. It is shown that in order to compute the price dynamics of traded securities one needs to solve a…
In this paper, we introduce the rich classes of conditional distortion (CoD) risk measures and distortion risk contribution ($\Delta$CoD) measures as measures of systemic risk and analyze their properties and representations. The classes…
Control Co-Design (CCD) considers the coupled effects of both the plant and control parameters to optimize a system's closed-loop transient performance during the design stage. This paper presents a new method for CCD with guarantees on…
Robust yield curve estimation is crucial in fixed-income markets for accurate instrument pricing, effective risk management, and informed trading strategies. Traditional approaches, including the bootstrapping method and parametric…
In this paper, we study general monetary risk measures (without any convexity or weak convexity). A monetary (respectively, positively homogeneous) risk measure can be characterized as the lower envelope of a family of convex (respectively,…
Synthetic control (SC) methods have gained rapid popularity in economics recently, where they have been applied in the context of inferring the effects of treatments on standard continuous outcomes assuming linear input-output relations. In…
By the modified directed likelihood, higher order accurate confidence limits for a scalar parameter are obtained from the likelihood. They are conveniently described in terms of a confidence distribution, that is a sample dependent…
This paper motivates the views that for complex systems, risk should be controlled by enforcing constraints in a modular way at different system levels, that the constraints can be expressed as assurance contracts and that acceptable risk…
It is well known that the Cox-Ingersoll-Ross (CIR) stochastic model to study the term structure of interest rates, as introduced in 1985, is inadequate for modelling the current market environment with negative short interest rates.…
The lifetime behaviour of loans is notoriously difficult to model, which can compromise a bank's financial reserves against future losses, if modelled poorly. Therefore, we present a data-driven comparative study amongst three techniques in…
We present a thorough empirical study on real interest rates by also including risk aversion through the introduction of the market price of risk. With the view of complex systems science and its multidisciplinary approach, we use the…
Hypothesis testing methods that do not rely on exact distribution assumptions have been emerging lately. The method of sign-perturbed sums (SPS) is capable of characterizing confidence regions with exact confidence levels for linear…
The stability of statistical analysis is an important indicator for reproducibility, which is one main principle of scientific method. It entails that similar statistical conclusions can be reached based on independent samples from the same…
We define Conditional quasi concave Performance Measures (CPMs), on random variables bounded from below, to accommodate for additional information. Our notion encompasses a wide variety of cases, from conditional expected utility and…
Various measures have been proposed to quantify human-like social biases in word embeddings. However, bias scores based on these measures can suffer from measurement error. One indication of measurement quality is reliability, concerning…
This paper introduces a novel test for conditional stochastic dominance (CSD) at specific values of the conditioning covariates, referred to as target points. The test is relevant for analyzing income inequality, evaluating treatment…
We propose a new class of metrics, called the survival independence divergence (SID), to test dependence between a right-censored outcome and covariates. A key technique for deriving the SIDs is to use a counting process strategy, which…
Derivative traders are usually required to scan through hundreds, even thousands of possible trades on a daily basis. Up to now, not a single solution is available to aid in their job. Hence, this work aims to develop a trading…
A Levy-driven Ornstein-Uhlenbeck process is proposed to model the evolution of the risk-free rate and default intensities for the purpose of evaluating option contracts on a credit index. Time evolution in credit markets is assumed to…
Credit scoring is a rapidly expanding analytical technique used by banks and other financial institutions. Academic studies on credit scoring provide a range of classification techniques used to differentiate between good and bad borrowers.…