Related papers: A hypothesis test for the long-term calibration in…
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…
The problem of testing the reliability of ensemble forecasting systems is revisited. A popular tool to assess the reliability of ensemble forecasting systems (for scalar verifications) is the rank histogram, this histogram is expected to be…
In this paper we propose a method to obtain global explanations for trained black-box classifiers by sampling their decision function to learn alternative interpretable models. The envisaged approach provides a unified solution to…
Verification of temporal logic properties plays a crucial role in proving the desired behaviors of hybrid systems. In this paper, we propose an interval method for verifying the properties described by a bounded linear temporal logic. We…
Dealing with distribution shifts is one of the central challenges for modern machine learning. One fundamental situation is the covariate shift, where the input distributions of data change from training to testing stages while the…
We study the dynamics of the linear and non-linear serial dependencies in financial time series in a rolling window framework. In particular, we focus on the detection of episodes of statistically significant two- and three-point…
Fault detection is crucial for ensuring the safety and reliability of modern industrial systems. However, a significant scientific challenge is the lack of rigorous risk control and reliable uncertainty quantification in existing diagnostic…
Tests for proportional hazards assumption concerning specified covariates or groups of covariates are proposed. The class of alternatives is wide: log-hazard rates under different values of covariates may cross, approach, go away. The data…
Long-term fairness algorithms aim to satisfy fairness beyond static and short-term notions by accounting for the dynamics between decision-making policies and population behavior. Most previous approaches evaluate performance and fairness…
In this paper we develop structural first passage models (AT1P and SBTV) with time-varying volatility and characterized by high tractability, moving from the original work of Brigo and Tarenghi (2004, 2005) [19] [20] and Brigo and Morini…
In recent years research on credit risk modelling has mainly focused on default probabilities. Recovery rates are usually modelled independently, quite often they are even assumed constant. Then, however, the structural connection between…
This paper is a comprehensive study of a long observed phenomenon of increase in the stability margin and so the rate of convergence of a class of linear systems due to time delay. We use Lambert W function to determine (a) in what systems…
Conformal prediction is a popular framework of uncertainty quantification that constructs prediction sets with coverage guarantees. To uphold the exchangeability assumption, many conformal prediction methods necessitate an additional…
A test of the null hypothesis that a hazard rate is monotone nondecreasing, versus the alternative that it is not, is proposed. Both the test statistic and the means of calibrating it are new. Unlike previous approaches, neither is based on…
This paper considers an opportunistic scheduling problem over a renewal system. A controller observes a random event at the beginning of each renewal frame and then chooses an action in response to the event, which affects the duration of…
In this paper, we deal with an axiomatic approach to default risk. We introduce the notion of a default risk measure, which generalizes the classical probability of default (PD), and allows to incorporate model risk in various forms. We…
Several application domains require formal but flexible approaches to the comparison problem. Different process models that cannot be related by behavioral equivalences should be compared via a quantitative notion of similarity, which is…
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…
A direct method for calculating default rates by industry and target corporate segments is not possible given the lack of statistical data. The proposed paper considers a model for filtering the dynamics of the probability of default of…
Testing the independence between random vectors is a fundamental problem in statistics. Distance correlation, a recently popular dependence measure, is universally consistent for testing independence against all distributions with finite…