Related papers: Default Probability Estimation via Pair Copula Con…
We propose a novel credit default model that takes into account the impact of macroeconomic information and contagion effect on the defaults of obligors. We use a set-valued Markov chain to model the default process, which is the set of all…
It is a well known fact that recovery rates tend to go down when the number of defaults goes up in economic downturns. We demonstrate how the loss given default model with the default and recovery dependent via the latent systematic risk…
A multi-dimensional extension of the structural default model with firms' values driven by diffusion processes with Marshall-Olkin-inspired correlation structure is presented. Semi-analytical methods for solving the forward calibration…
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…
Dependence strucuture estimation is one of the important problems in machine learning domain and has many applications in different scientific areas. In this paper, a theoretical framework for such estimation based on copula and copula…
Use copula to model dependency of variable extends multivariate gaussian assumption. In this paper we first empirically studied copula regression model with continous response. Both simulation study and real data study are given. Secondly…
In this article, a copula-based method for mixed regression models is proposed, where the conditional distribution of the response variable, given covariates, is modelled by a parametric family of continuous or discrete distributions, and…
The risk of a credit portfolio depends crucially on correlations between the probability of default (PD) in different economic sectors. Often, PD correlations have to be estimated from relatively short time series of default rates, and the…
In this paper, we deal with an axiomatic approach to default risk. We introduce the notion of a default risk measure, which generalizes the classical probability of default (PD), and allows to incorporate model risk in various forms. We…
Risk management is an important practice in the banking industry. In this paper we develop a new methodology to estimate and predict the probability of default (PD) based on the rating transition matrices, which relates the rating…
This paper studies a valuation framework for financial contracts subject to reference and counterparty default risks with collateralization requirement. We propose a fixed point approach to analyze the mark-to-market contract value with…
For credit risk management purposes in general, and for allocation of regulatory capital by banks in particular (Basel II), numerical assessments of the credit-worthiness of borrowers are indispensable. These assessments are expressed in…
We study the pricing problem for corporate defaultable bond from the viewpoint of the investors outside the firm that could not exactly know about the information of the firm. We consider the problem for pricing of corporate defaultable…
Zero-inflated continuous data ubiquitously appear in many fields, in which lots of exactly zero-valued data are observed while others distribute continuously. Due to the mixed structure of discreteness and continuity in its distribution,…
We introduce a novel perspective by linking ordered probabilistic choice to copula theory, a mathematical framework for modeling dependencies in multivariate distributions. Each representation of ordered probabilistic choice behavior can be…
There are growing concerns for reserves estimation of incurred but not reported (IBNR) claims in actuarial sciences. In this paper, we propose a copula-based dependency model to capture the relationship between two main IBNR reserve…
This paper presents a new copula to model dependencies between insurance entities, by considering how insurance entities are affected by both macro and micro factors. The model used to build the copula assumes that the insurance losses of…
Based on the work of Suzuki (2002), we consider a generalization of Merton's asset valuation approach (Merton, 1974) in which two firms are linked by cross-ownership of equity and liabilities. Suzuki's results then provide no arbitrage…
Pair-copula constructions are flexible dependence models that use bivariate copulas as building blocks. In this paper, we use generalized additive models to extend them by allowing covariates effects. Borrowing ideas from a traditionally…
We describe a simple method for making inference on a functional of a multivariate distribution. The method is based on a copula representation of the multivariate distribution and it is based on the properties of an Approximate Bayesian…