相关论文: A traffic lights approach to PD validation

The banking systems that deal with risk management depend on underlying risk measures. Following the Basel II accord, there are two separate methods by which banks may determine their capital requirement. The Value at Risk measure plays an…

The consultative papers for the Basel II Accord require rating systems to provide a ranking of obligors in the sense that the rating categories indicate the creditworthiness in terms of default probabilities. As a consequence, the default…

We consider the sequential composite binary hypothesis testing problem in which one of the hypotheses is governed by a single distribution while the other is governed by a family of distributions whose parameters belong to a known set…

We propose a new conditional dependence measure and a statistical test for conditional independence. The measure is based on the difference between analytic kernel embeddings of two well-suited distributions evaluated at a finite set of…

Testing black-box perceptual-control systems in simulation faces two difficulties. Firstly, perceptual inputs in simulation lack the fidelity of real-world sensor inputs. Secondly, for a reasonably accurate perception system, encountering a…

We propose a new algorithmic framework for sequential hypothesis testing with i.i.d. data, which includes A/B testing, nonparametric two-sample testing, and independence testing as special cases. It is novel in several ways: (a) it takes…

We introduce estimation and test procedures through divergence minimiza- tion for models satisfying linear constraints with unknown parameter. These procedures extend the empirical likelihood (EL) method and share common features with…

This article introduces a Bayesian nonparametric method for quantifying the relative evidence in a dataset in favour of the dependence or independence of two variables conditional on a third. The approach uses Polya tree priors on spaces of…

The theory of acceptance sets and their associated risk measures plays a key role in the design of capital adequacy tests. The objective of this paper is to investigate, in the context of bounded financial positions, the class of…

In this paper, we study the effect of dependence on detecting sparse signals. In particular, we focus on global testing against sparse alternatives for the means of binary outcomes following an Ising model, and establish how the interplay…

Banks and financial institutions all over the world manage portfolios containing tens of thousands of customers. Not all customers are high credit-worthy, and many possess varying degrees of risk to the Bank or financial institutions that…

We introduce an independence criterion based on entropy regularized optimal transport. Our criterion can be used to test for independence between two samples. We establish non-asymptotic bounds for our test statistic and study its…

Measuring conditional dependence is an important topic in statistics with broad applications including graphical models. Under a factor model setting, a new conditional dependence measure based on projection is proposed. The corresponding…

We show that the control of the false discovery rate (FDR) for a multiple testing procedure is implied by two coupled simple sufficient conditions. The first one, which we call ``self-consistency condition'', concerns the algorithm itself,…

We develop a new statistical procedure to test whether the dependence structure is identical between two groups. Rather than relying on a single index such as Pearson's correlation coefficient or Kendall's Tau, we consider the entire…

This paper introduces the \textit{weighted partial copula} function for testing conditional independence. The proposed test procedure results from these two ingredients: (i) the test statistic is an explicit Cramer-von Mises transformation…

The safety validation of automatic emergency braking system (AEBS) requires accurately distinguishing between false positive (FP) and true positive (TP) system activations. While simulations allow straightforward differentiation by…

We relate models based on costs of switching beliefs (e.g. due to inattention) to hypothesis tests. Specifically, for an inference problem with a penalty for mistakes and for switching the inferred value, a band of inaction is optimal. We…

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…

Identification-robust hypothesis tests are commonly based on the continuous updating GMM objective function. When the number of moment conditions grows proportionally with the sample size, the large-dimensional weighting matrix prohibits…