Related papers: Parameter estimation of default portfolios using t…
Portfolio managers often evaluate performance relative to benchmark, usually taken to be the Standard & Poor 500 stock index fund. This relative portfolio wealth is defined as the absolute portfolio wealth divided by wealth from investing…
Semiconductors are widely used in various applications and critical infrastructures. These devices have specified lifetimes and quality targets that manufacturers must achieve. Lifetime estimation is conducted through accelerated stress…
We consider a structural default model in an interconnected banking network as in Lipton [International Journal of Theoretical and Applied Finance, 19(6), 2016], with mutual obligations between each pair of banks. We analyse the model…
Measuring the corporate default risk is broadly important in economics and finance. Quantitative methods have been developed to predictively assess future corporate default probabilities. However, as a more difficult yet crucial problem,…
In this paper we consider a fourth order nonlinear parabolic delayed problem modelling a quasi-instantaneous turn-over of linkages in the context of cell-motility. The model depends on a small parameter $\epsilon$ which represents a typical…
We provide a new version of delta theorem, that takes into account of high dimensional parameter estimation. We show that depending on the structure of the function, the limits of functions of estimators have faster or slower rate of…
The Constant Elasticity of Variance (CEV) model is mathematically presented and then used in a Credit-Equity hybrid framework. Next, we propose extensions to the CEV model with default: firstly by adding a stochastic volatility diffusion…
We study portfolio selection in a complete continuous-time market where the preference is dictated by the rank-dependent utility. As such a model is inherently time inconsistent due to the underlying probability weighting, we study the…
In this paper we give a financial justification, based on non arbitrage conditions, of the $(H)$ hypothesis in default time modelling. We also show how the $(H)$ hypothesis is affected by an equivalent change of probability measure. The…
By incorporating a multilayer network and time-decaying memory into the original voter model, the coupled effects of spatial and temporal cumulation of peer pressure on consensus are investigated. Heterogeneity in peer pressure and…
The existence of asymmetric information has always been a major concern for financial institutions. Financial intermediaries such as commercial banks need to study the quality of potential borrowers in order to make their decision on…
Cure models have been widely developed to estimate the cure fraction when some subjects never experience the event of interest. However these models were rarely focused on the estimation of the time-to-cure i.e. the delay elapsed between…
According to theoretical models of valuing risky corporate securities, risk of default is primary component in overall yield spread. However, sizable empirical literature considers it otherwise by giving more importance to non-default risk…
We identify the fluctuations of the partition function of the continuous random energy model on a Galton-Watson tree in the so-called weak correlation regime. Namely, when the ``speed functions'', that describe the time-inhomogeneous…
In this paper we propose a new nonparametric approach to interacting failing systems (FS), that is systems whose probability of failure is not negligible in a fixed time horizon, a typical example being firms and financial bonds. The main…
The consultative papers for the Basel II Accord require rating systems to provide a ranking of obligors in the sense that the rating categories indicate the creditworthiness in terms of default probabilities. As a consequence, the default…
Portfolio selection in the periodic investment of securities modeled by a multivariate Merton model with dependent jumps is considered. The optimization framework is designed to maximize expected terminal wealth when portfolio risk is…
This paper presents a new parameter estimation algorithm for the adaptive control of a class of time-varying plants. The main feature of this algorithm is a matrix of time-varying learning rates, which enables parameter estimation error…
The paper [12] examines a concept of equilibrium policies instead of optimal controls in stochastic optimization to analyze a mean-variance portfolio selection problem. We follow the same approach in order to investigate the Merton…
Credit capital requirements in Internal Rating Based approaches require the calibration of two key parameters: the probability of default and the loss-given-default. This letter considers the uncertainty about these two parameters and…