Related papers: Defining and comparing SICR-events for classifying…
SOFR derivatives market remains illiquid and incomplete so it is not amenable to classical risk-neutral term structure models which are based on the assumption of perfect liquidity and completeness. This paper develops a statistical SOFR…
Statistics is sometimes described as the science of reasoning under uncertainty. Statistical models provide one view of this uncertainty, but what is frequently neglected is the 'invisible' portion of uncertainty: that assumed not to exist…
Reinsurance counterparty credit risk (RCCR) is the risk of a loss arising from the fact that a reinsurance company is unable to fulfill her contractual obligations towards the ceding insurer. RCCR is an important risk category for insurance…
Financial crises emerge when structural vulnerabilities accumulate across sectors, markets, and investor behavior. Predicting these systemic transitions is challenging because they arise from evolving interactions between market…
When providing probabilistic forecasts for uncertain future events, it is common to strive for calibrated forecasts, that is, the predictive distribution should be compatible with the observed outcomes. Several notions of calibration are…
This paper studies the model selection problem in a large class of causal time series models, which includes both the ARMA or AR($\infty$) processes, as well as the GARCH or ARCH($\infty$), APARCH, ARMA-GARCH and many others processes. To…
The instability of the financial system as experienced in recent years and in previous periods is often linked to credit defaults, i.e., to the failure of obligors to make promised payments. Given the large number of credit contracts, this…
Consistent Recalibration models (CRC) have been introduced to capture in necessary generality the dynamic features of term structures of derivatives' prices. Several approaches have been suggested to tackle this problem, but all of them,…
Measurement of the interrater agreement (IRA) is critical in various disciplines. To correct for potential confounding chance agreement in IRA, Cohen's kappa and many other methods have been proposed. However, owing to the varied strategies…
We consider models for which it is important, early in processing, to estimate some variables with high precision, but perhaps at relatively low rates of recall. If some variables can be identified with near certainty, then they can be…
Desirable system performance in the face of threats and disruptions has been characterized by various management concepts. Through semi-structured interviews with editors of journals in the fields of emergency response and systems…
This paper introduces the Index of Future Readiness (IFR), a novel framework for assessing a country's capacity to withstand, adapt to, and prosper within an environment of continuous and accelerating change. The framework builds on the…
In this paper, we present a methodology for measuring the impact of scenarios on the expected losses of exposures by leveraging the existing provisioning infrastructure within financial institutions, where scenario effects are captured…
The intention with this paper is to provide all the estimation concepts and techniques that are needed to implement a two-phases approach to the parametric estimation of probability of default (PD) curves. In the first phase of this…
We address the so-called calibration problem which consists of fitting in a tractable way a given model to a specified term structure like, e.g., yield or default probability curves. Time-homogeneous jump-diffusions like Vasicek or…
Since neural classifiers are known to be sensitive to adversarial perturbations that alter their accuracy, \textit{certification methods} have been developed to provide provable guarantees on the insensitivity of their predictions to such…
Credit ratings are becoming one of the primary references for financial institutions of the country to assess credit risk in order to accurately predict the likelihood of business failure of an individual or an enterprise. Financial…
The increasing complexity of software systems and the influence of software-supported decisions in our society have sparked the need for software that is safe, reliable, and fair. Explainability has been identified as a means to achieve…
Banks are interested in evaluating the risk of the financial distress before giving out a loan. Many researchers proposed the use of models based on the Neural Networks in order to help the banker better make a decision. The objective of…
Large language models struggle to catch errors in their own outputs when the review happens in the same session that produced them. This paper introduces Cross-Context Review (CCR), a straightforward method where the review is conducted in…