Related papers: qGaussian model of default
This paper describes a framework for flexible multiple hypothesis testing of autoregressive time series. The modeling approach is Bayesian, though a blend of frequentist and Bayesian reasoning is used to evaluate procedures. Nonparametric…
Maintenance optimization of naval ship equipment is crucial in terms of national defense. However, the mixed effect of the maintenance and the pure deterioration processes in the observed data hinders an exact comparison between candidate…
The geological systems such as petroleum reservoirs is investigated by the entropy introduced by Tsallis and multiplicative hierarchical cascade model. When non-Gaussianity appears, it is sign of uncertainty and phase transition, which…
Under the International Financial Reporting Standards (IFRS) 9, credit losses ought to be recognised timeously and accurately. This requirement belies a certain degree of dynamicity when estimating the constituent parts of a credit loss…
Propagation of balance-sheet or cash-flow insolvency across financial institutions may be modeled as a cascade process on a network representing their mutual exposures. We derive rigorous asymptotic results for the magnitude of contagion in…
We introduce a general framework for Markov decision problems under model uncertainty in a discrete-time infinite horizon setting. By providing a dynamic programming principle we obtain a local-to-global paradigm, namely solving a local,…
This article proposes a method for measuring the latent risks involved in the recovery process of non performing loans in financial institutions and business firms that deal with collection and recovery processes. To that end, we apply the…
This paper provides robust, new evidence on the causal drivers of market troughs. We demonstrate that conclusions about these triggers are critically sensitive to model specification, moving beyond restrictive linear models with a flexible…
We report on a study of the Tehran Price Index (TEPIX) from 2001 to 2006 as an emerging market that has been affected by several political crises during the recent years, and analyze the non-Gaussian probability density function (PDF) of…
Multivariate probability density functions of returns are constructed in order to model the empirical behavior of returns in a financial time series. They describe the well-established deviations from the Gaussian random walk, such as an…
Prior to the financial crisis mortgage securitization models increased in sophistication as did products built to insure against losses. Layers of complexity formed upon a foundation that could not support it and as the foundation crumbled…
In various technical applications, assessing the impact of non-Gaussian processes on responses of dynamic systems is crucial. While simulating time-domain realizations offers an efficient solution for linear dynamic systems, this method…
. A sampling plan is a pilot tool for a supply and demand chain quality check strategy. These plans proved to be economically viable for the quality inspection processes but the uncertainty in the plan parameters challenged the reliability…
In recent years, China's bond market has seen a surge in defaults amid regulatory reforms and macroeconomic volatility. Traditional machine learning models struggle to capture financial data's irregularity and temporal dependencies, while…
This paper presents an empirical investigation of the intraday Brazilian stock market price fluctuations, considering q-Gaussian distributions that emerge from a non-extensive statistical mechanics. Our results show that, when returns are…
We apply the concepts of multifractal physics to financial time series in order to characterize the onset of crash for the Standard & Poor's 500 stock index x(t). It is found that within the framework of multifractality, the "analogous"…
This paper provides an alternative approach to Duffie and Lando [Econometrica 69 (2001) 633-664] for obtaining a reduced form credit risk model from a structural model. Duffie and Lando obtain a reduced form model by constructing an economy…
Analytical, free of time consuming Monte Carlo simulations, framework for credit portfolio systematic risk metrics calculations is presented. Techniques are described that allow calculation of portfolio-level systematic risk measures…
We consider the pricing of European-style structured credit payoff in a static framework, where the underlying default times are independent given a common factor. A practical application would consist of the pricing of nth-to-default…
Multivariate elliptically-contoured distributions are widely used for modeling correlated and non-Gaussian data. In this work, we study the kurtosis of the elliptical model, which is an important parameter in many statistical analysis.…