Related papers: A hypothesis test for the long-term calibration in…

To quantify the changes in the credit rating of a bond is an important mathematical problem for the credit rating industry. To think of the credit rating as the state a Markov chain is an interesting proposal leading to challenges in…

In this paper we develop a tractable structural model with analytical default probabilities depending on some dynamics parameters, and we show how to calibrate the model using a chosen number of Credit Default Swap (CDS) market quotes. We…

The impact of a stress scenario of default events on the loss distribution of a credit portfolio can be assessed by determining the loss distribution conditional on these events. While it is conceptually easy to estimate loss distributions…

In many applications, accurate class probability estimates are required, but many types of models produce poor quality probability estimates despite achieving acceptable classification accuracy. Even though probability calibration has been…

Parallel tempering, or replica exchange, is a popular method for simulating complex systems. The idea is to run parallel simulations at different temperatures, and at a given swap rate exchange configurations between the parallel…

The estimation of the correlation between time series is often hampered by the asynchronicity of the signals. Cumulating data within a time window suppresses this source of noise but weakens the statistics. We present a method to estimate…

We investigate under which conditions a single simulation of joint default times at a final time horizon can be decomposed into a set of simulations of joint defaults on subsequent adjacent sub-periods leading to that final horizon. Besides…

Experiments often yield non-identically distributed data for statistical analysis. Tests of hypothesis under such set-ups are generally performed using the likelihood ratio test, which is non-robust with respect to outliers and model…

In observational studies, researchers must select a method to control for confounding. Options include propensity score methods and regression. It remains unclear how dataset characteristics (size, overlap in propensity scores, exposure…

Calibrating blackbox machine learning models to achieve risk control is crucial to ensure reliable decision-making. A rich line of literature has been studying how to calibrate a model so that its predictions satisfy explicit finite-sample…

The classical reduced-form and filtration expansion framework in credit risk is extended to the case of multiple, non-ordered defaults, assuming that conditional densities of the default times exist. Intensities and pricing formulas are…

In the statistical inference for long range dependent time series the shape of the limit distribution typically depends on unknown parameters. Therefore, we propose to use subsampling. We show the validity of subsampling for general…

Consider the problem of estimating the causal effect of some attribute of a text document; for example: what effect does writing a polite vs. rude email have on response time? To estimate a causal effect from observational data, we need to…

What can be considered an appropriate statistical method for the primary analysis of a randomized clinical trial (RCT) with a time-to-event endpoint when we anticipate non-proportional hazards owing to a delayed effect? This question has…

The problem of scheduling with testing in the framework of explorable uncertainty models environments where some preliminary action can influence the duration of a task. In the model, each job has an unknown processing time that can be…

A standard quantitative method to access credit risk employs a factor model based on joint multivariate normal distribution properties. By extending a one-factor Gaussian copula model to make a more accurate default forecast, this paper…

Survival analysis deals with modeling the time until an event occurs, and accurate probability estimates are crucial for decision-making, particularly in the competing-risks setting where multiple events are possible. While recent work has…

Many recent studies use individual longitudinal data to analyze job search behaviors. Such data allow the use of fixed-effects models, which supposedly address the issue of dynamic selection and make it possible to identify the structural…

The risk of a credit portfolio depends crucially on correlations between the probability of default (PD) in different economic sectors. Often, PD correlations have to be estimated from relatively short time series of default rates, and the…

The issue of model risk in default modeling has been known since inception of the Academic literature in the field. However, a rigorous treatment requires a description of all the possible models, and a measure of the distance between a…