Related papers: Merton's Default Risk Model for Private Company

In this paper, we investigate the differentially private estimation of data depth functions and their associated medians. We introduce several methods for privatizing depth values at a fixed point, and show that for some depth functions,…

We present a general framework for the estimation of corporate default based on a firm's capital structure, when its assets are assumed to follow a pure jump L\'evy processes; this setup provides a natural extension to usual default metrics…

The Pareto model is very popular in risk management, since simple analytical formulas can be derived for financial downside risk measures (Value-at-Risk, Expected Shortfall) or reinsurance premiums and related quantities (Large Claim Index,…

We consider discrete time Heath-Jarrow-Morton type interest rate models, where the interest rate curves are driven by a geometric spatial autoregression field. Strong consistency and asymptotic normality of the maximum likelihood estimators…

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…

Directed graphical models (DGMs) are a class of probabilistic models that are widely used for predictive analysis in sensitive domains, such as medical diagnostics. In this paper we present an algorithm for differentially private learning…

In this paper, we focus our attention on private Empirical Risk Minimization (ERM), which is one of the most commonly used data analysis method. We take the first step towards solving the above problem by theoretically exploring the effect…

In this paper, we revisit the problem of using in-distribution public data to improve the privacy/utility trade-offs for differentially private (DP) model training. (Here, public data refers to auxiliary data sets that have no privacy…

This paper investigates dividend optimization of an insurance corporation under a more realistic model which takes into consideration refinancing or capital injections. The model follows the compound Poisson framework with credit interest…

Pricing formulae for defaultable corporate bonds with discrete coupons under consideration of the government taxes in the united model of structural and reduced form models are provided. The aim of this paper is to generalize the…

We investigate the impact of available information on the estimation of the default probability within a generalized structural model for credit risk. The traditional structural model where default is triggered when the value of the firm's…

This paper treats the Merton problem how to invest in safe assets and risky assets to maximize an investor's utility, given by investment opportunities modeled by a $d$-dimensional state process. The problem is represented by a partial…

This paper deals with the problem of discrete-time option pricing by the mixed fractional version of Merton model with transaction costs. By a mean-self-financing delta hedging argument in a discrete-time setting, a European call option…

We propose a distributionally robust return-risk model for Markov decision processes (MDPs) under risk and reward ambiguity. The proposed model optimizes the weighted average of mean and percentile performances, and it covers the…

We study a model of a corporation which has the possibility to choose various production/business policies with different expected profits and risks. In the model there are restrictions on the dividend distribution rates as well as…

We theorize the financial health of a company and the risk of its default. A company is financially healthy as long as its equilibrium in the financial system is maintained, which depends on the cost attributable to the probability that…

Diffusion in a linear potential in the presence of position-dependent killing is used to mimic a default process. Different assumptions regarding transport coefficients, initial conditions, and elasticity of the killing measure lead to…

This paper considers general term structure models like the ones appearing in portfolio credit risk modelling or life insurance. We give a general model starting from families of forward rates driven by infinitely many Brownian motions and…

This paper considers mutual obligations in the interconnected bank system and analyzes their influence on joint and marginal survival probabilities as well as CDS and FTD prices for the individual banks. To make the role of mutual…

We consider the valuation problem of an (insurance) company under partial information. Therefore we use the concept of maximizing discounted future dividend payments. The firm value process is described by a diffusion model with constant…