Related papers: Bivariate Semi-Markov Process for Counterparty Cre…

We propose a new Bayesian Markov switching regression model for multidimensional arrays (tensors) of binary time series. We assume a zero-inflated logit regression with time-varying parameters and apply it to multilayer temporal networks.…

In the paper [Hainaut, D. and Colwell, D.B., {\rm A structural model for credit risk with switching processes and synchronous jumps}, The European Journal of Finance 22(11) (2016): 1040-1062], the authors exploit a synchronous-jump…

We set up a structural model to study credit risk for a portfolio containing several or many credit contracts. The model is based on a jump--diffusion process for the risk factors, i.e. for the company assets. We also include correlations…

This paper studies a Markov network model for unbalanced data, aiming to solve the problems of classification bias and insufficient minority class recognition ability of traditional machine learning models in environments with uneven class…

Pairwise Choice Markov Chains (PCMC) have been recently introduced to overcome limitations of choice models based on traditional axioms unable to express empirical observations from modern behavior economics like context effects occurring…

We propose a novel framework of estimating systemic risk measures and risk allocations based on Markov chain Monte Carlo (MCMC) methods. We consider a class of allocations whose jth component can be written as some risk measure of the jth…

We propose a new method for the analysis of competing risks data with long term survivors. The proposed method enables us to estimate the overall survival probability and cure fraction simultaneously. We formulate the effect of covariates…

We study counterfactual regression, which aims to map input features to outcomes under hypothetical scenarios that differ from those observed in the data. This is particularly useful for decision-making when adapting to sudden shifts in…

Using a suitable change of probability measure, we obtain a novel Poisson series representation for the arbitrage- free price process of vulnerable contingent claims in a regime-switching market driven by an underlying continuous- time…

We consider finite-horizon Markov Decision Processes where parameters, such as transition probabilities, are unknown and estimated from data. The popular distributionally robust approach to addressing the parameter uncertainty can sometimes…

This paper considers exponential utility indifference pricing for a multidimensional non-traded assets model subject to inter-temporal default risk, and provides a semigroup approximation for the utility indifference price. The key tool is…

This paper addresses the key challenge of estimating the asymptotic covariance associated with the Markov chain central limit theorem, which is essential for visualizing and terminating Markov Chain Monte Carlo (MCMC) simulations. We focus…

In this paper we describe how to include funding and margining costs into a risk-neutral pricing framework for counterparty credit risk. We consider realistic settings and we include in our models the common market practices suggested by…

Since the Great Financial Crisis (GFC), the use of stress tests as a tool for assessing the resilience of financial institutions to adverse financial and economic developments has increased significantly. One key part in such exercises is…

We continue study of conformal testing in binary model situations. In this note we consider Markov alternatives to the null hypothesis of exchangeability. We propose two new classes of conformal test martingales; one class is statistically…

The concepts of probability, statistics and stochastic theory are being successfully used in structural engineering. Markov Chain modelling is a simple stochastic process model that has found its application in both describing stochastic…

We consider Markov-switching regression models, i.e. models for time series regression analyses where the functional relationship between covariates and response is subject to regime switching controlled by an unobservable Markov chain.…

This paper studies the valuation of a class of default swaps with the embedded option to switch to a different premium and notional principal anytime prior to a credit event. These are early exercisable contracts that give the protection…

We present a dialogue on Counterparty Credit Risk touching on Credit Value at Risk (Credit VaR), Potential Future Exposure (PFE), Expected Exposure (EE), Expected Positive Exposure (EPE), Credit Valuation Adjustment (CVA), Debit Valuation…

Two Cox-based multistate modeling approaches are compared for analyzing a complex multicohort event history process. The first approach incorporates cohort information as a fixed covariate, thereby providing a direct estimation of the…