Related papers: Building and Testing Yield Curve Generators for P&…
This paper develops a two-dimensional structural framework for valuing credit default swaps and corporate bonds in the presence of default contagion. Modelling the values of related firms as correlated geometric Brownian motions with…
Recent studies document strong empirical support for multifactor models that aim to explain the cross-sectional variation in corporate bond expected excess returns. We revisit these findings and provide evidence that common factor pricing…
Yield and quality improvement is of paramount importance to any manufacturing company. One of the ways of improving yield is through discovery of the root causal factors affecting yield. We propose the use of data-driven interpretable…
The rapid expansion of cross-border e-commerce (CBEC) has created significant opportunities for small- and medium-sized sellers, yet financing remains a critical challenge due to their limited credit histories. Third-party logistics…
Experience curves are widely used to predict the cost benefits of increasing the deployment of a technology. But how good are such forecasts? Can one predict their accuracy a priori? In this paper we answer these questions by developing a…
The purpose of this paper relies on the study of long term affine yield curves modeling. It is inspired by the Ramsey rule of the economic literature, that links discount rate and marginal utility of aggregate optimal consumption. For such…
Competing risks occur in survival analysis when multiple causes of death are present. They play a prominent role in several domains extending beyond biostatistics to encompass epidemiology, actuarial sciences, and reliability theory. This…
Risk scores are an interpretable and actionable class of machine learning models with applications in medicine, insurance, and risk management. Unlike most computational methods, risk scores are designed to be computed by a human by…
In banking practice, rating transition matrices have become the standard approach of deriving multi-year probabilities of default (PDs) from one-year PDs, the latter normally being available from Basel ratings. Rating transition matrices…
This paper proposes a novel methodology for probabilistic dynamic security assessment and enhancement of power systems that considers load and generation variability, N-2 contingencies, and uncertain cascade propagation caused by uncertain…
We can never be certain that a software system is correct simply by testing it, but with every additional successful test we become less uncertain about its correctness. In absence of source code or elaborate specifications and models,…
This study delves into the intricate realm of risk evaluation within the domain of specific financial derivatives, notably options. Unlike other financial instruments, like bonds, options are susceptible to broader risks. A distinctive…
An experimental system has been found recently, a coagulated CaCO3 suspension system, which shows very variable yield behaviour depending upon how it is tested and, specifically, at what rate it is sheared. At P\'eclet numbers Pe > 1 it…
In a power system, unlike some critical and standalone assets that are equipped with condition monitoring devices, the conditions of most regular in-group assets are acquired through periodic inspection work. Due to their large quantities,…
We propose a Markov chain model for credit rating changes. We do not use any distributional assumptions on the asset values of the rated companies but directly model the rating transitions process. The parameters of the model are estimated…
We extend the Vasi\v{c}ek loan portfolio model to a setting where liabilities fluctuate randomly and asset values may be subject to systemic jump risk. We derive the probability distribution of the percentage loss of a uniform portfolio and…
Generating synthetic financial time series data that accurately reflects real-world market dynamics holds tremendous potential for various applications, including portfolio optimization, risk management, and large scale machine learning. We…
Tracking the build-up of financial vulnerabilities is a key component of financial stability policy. Due to the complexity of the financial system, this task is daunting, and there have been several proposals on how to manage this goal. One…
This paper investigates how to measure common market risk factors using newly proposed Panel Quantile Regression Model for Returns. By exploring the fact that volatility crosses all quantiles of the return distribution and using penalized…
Surrender poses one of the major risks to life insurance and a sound modeling of its true probability has direct implication on the risk capital demanded by the Solvency II directive. We add to the existing literature by performing…