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The main goal of this paper is an application of Bayesian inference in testing the relation between risk and return on the financial instruments. On the basis of the Intertemporal CAPM model we built a general sampling model suitable in…
The utility-based pricing of defaultable bonds in the case of stochastic intensity models of default risk is discussed. The Hamilton-Jacobi- Bellman (HJB) equations for the value functions is derived. A finite difference method is used to…
This paper considers the problem of invoking auxiliary, unobservable variables to facilitate the structuring of causal tree models for a given set of continuous variables. Paralleling the treatment of bi-valued variables in [Pearl 1986], we…
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…
Quantitative studies in many fields involve the analysis of multivariate data of diverse types, including measurements that we may consider binary, ordinal and continuous. One approach to the analysis of such mixed data is to use a copula…
Collaboration networks are studied as an example of growing bipartite networks. These have been previously observed to have structure such as positive correlations between nearest-neighbour degrees. However, a detailed understanding of the…
Our interest is in the scaled joint distribution associated with $k$-increasing subsequences for random involutions with a prescribed number of fixed points. We proceed by specifying in terms of correlation functions the same distribution…
In this paper we investigate the estimation of the unknown parameters of a competing risk model based on a Weibull distributed decreasing failure rate and an exponentially distributed constant failure rate, under right censored…
We give a nonstandard analytic proof of de Finetti's theorem for an exchangeable sequence of Bernoulli random variables. The theorem postulates that such a sequence is uniquely representable as a mixture of iid sequences of Bernoulli random…
A theory of systems with long-range correlations based on the consideration of binary N-step Markov chains is developed. In the model, the conditional probability that the i-th symbol in the chain equals zero (or unity) is a linear function…
Relational arrays represent measures of association between pairs of actors, often in varied contexts or over time. Trade flows between countries, financial transactions between individuals, contact frequencies between school children in…
This paper provides a characterization of all possible dependency structures between two stochastically ordered random variables. The answer is given in terms of copulas that are compatible with the stochastic order and the marginal…
This paper presents a convenient framework for modeling default process and pricing derivative securities involving credit risk. The framework provides an integrated view of credit valuation adjustment by linking distance-to-default,…
Several procedures have been recently proposed to test the simplifying assumption for conditional copulas. Instead of considering pointwise conditioning events, we study the constancy of the conditional dependence structure when some…
A set of independence statements may define the independence structure of interest in a family of joint probability distributions. This structure is often captured by a graph that consists of nodes representing the random variables and of…
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…
Given an arbitrary three-dimensional correlation matrix, we prove that there exists a three-dimensional joint distribution for the random variable $(X,Y,Z)$ such that $X$,$Y$ and $Z$ are identically distributed with beta distribution…
We propose a multivariate framework for modeling dependent default times that extends the classical Cox process by incorporating both common and idiosyncratic shocks. Our construction uses c\`adl\`ag, increasing processes to model…
This paper discusses and analyzes various models of binary correlated sources, which may be relevant in several distributed communication scenarios. These models are statistically characterized in terms of joint Probability Mass Function…
It is commonly believed that the correlations between stock returns increase in high volatility periods. We investigate how much of these correlations can be explained within a simple non-Gaussian one-factor description with time…