Related papers: Defining, Estimating and Using Credit Term Structu…
Conformal Prediction (CP) is a distribution-free framework for constructing statistically rigorous prediction sets. While popular variants such as CD-split improve CP's efficiency, they often yield prediction sets composed of multiple…
The choice of hyperparameters greatly impacts performance in natural language processing. Often, it is hard to tell if a method is better than another or just better tuned. Tuning curves fix this ambiguity by accounting for tuning effort.…
The aim of this paper is to introduce a synthetic ALM model that catches the main specificity of life insurance contracts. First, it keeps track of both market and book values to apply the regulatory profit sharing rule. Second, it…
The term structure of interest rates (yield curve) is a critical facet of financial analytics, impacting various investment and risk management decisions. It is used by the central bank to conduct and monitor its monetary policy. That…
We discuss a simple, exactly solvable model of stochastic stock dynamics that incorporates regime switching between healthy and distressed regimes. Using this model, which is analytically tractable, we discuss a way of extracting expected…
The mean survival is the key ingredient of the decision process in several applications, notably in health economic evaluations. It is defined as the area under the complete survival curve, thus necessitating extrapolation of the observed…
Option pricing is a significant problem for option risk management and trading. In this article, we utilize a framework to present financial data from different sources. The data is processed and represented in a form of 2D tensors in three…
Survival analysis has become a standard approach for modelling time to default by time-varying covariates in credit risk. Unlike most existing methods that implicitly assume a stationary data-generating process, in practise, mortgage…
In this paper, a geometric function is introduced to reflect the attenuation speed of impact of one firm's default to its partner. If two firms are competitions (copartners), the default intensity of one firm will decrease (increase)…
In this paper is discussed an application of signed measures (charges) to description of segment and chord length distributions in nonconvex bodies. The signed distribution may naturally appears due to definition via derivatives of…
Conditions of Stability for explicit finite difference scheme and some results of numerical analysis for a unified 2 factor model of structural and reduced form types for corporate bonds with fixed discrete coupon are provided. It seems to…
One of the most challenging aspects in the analysis and modelling of financial markets, including Credit Default Swap (CDS) markets, is the presence of an emergent, intermediate level of structure standing in between the microscopic…
Simultaneous confidence bands (SCBs) for percentiles in linear regression are valuable tools with many applications. In this paper, we propose a novel criterion for comparing SCBs for percentiles, termed the Minimum Area Confidence Set…
We introduce here for the first time the long-term swap rate, characterised as the fair rate of an overnight indexed swap with infinitely many exchanges. Furthermore we analyse the relationship between the long-term swap rate, the long-term…
Clustering is the task of gathering similar data samples into clusters without using any predefined labels. It has been widely studied in machine learning literature, and recent advancements in deep learning have revived interest in this…
In this paper we present a theoretical framework for determining dynamic ask and bid prices of derivatives using the theory of dynamic coherent acceptability indices in discrete time. We prove a version of the First Fundamental Theorem of…
An algorithm to estimate the evolution of learning curves on the whole of a training data base, based on the results obtained from a portion and using a functional strategy, is introduced. We approximate iteratively the sought value at the…
The importance of adequately modeling credit risk has once again been highlighted in the recent financial crisis. Defaults tend to cluster around times of economic stress due to poor macro-economic conditions, {\em but also} by directly…
This paper proposes a novel method to generate bid bounds that can serve as offer caps for energy storage in electricity markets to help reduce system costs and regulate potential market power exercises. We derive the bid bounds based on a…
We amend and extend the Chiarella model of financial markets to deal with arbitrary long-term value drifts in a consistent way. This allows us to improve upon existing calibration schemes, opening the possibility of calibrating individual…