Relevant bibliographies by topics / Joint default probability

Academic literature on the topic 'Joint default probability'

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Published: 11 March 2023

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Journal articles on the topic "Joint default probability"

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Valužis, M. "On the Probabilities of Correlated Defaults: a First Passage Time Approach." Nonlinear Analysis: Modelling and Control 13, no. 1 (January 25, 2008): 117–33. http://dx.doi.org/10.15388/na.2008.13.1.14593.

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This article investigates the joint probability of correlated defaults in the first passage time approach of credit risk subject to condition that the underlying firms’ assets values and the default boundaries follow geometric Brownian motion processes. The exact analytical expression of joint probability of two correlated defaults in the case of stochastic default boundaries is presented. Also, some properties of this solution are provided.
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Durante, Fabrizio, Juan Fernández-Sánchez, and Wolfgang Trutschnig. "On the singular components of a copula." Journal of Applied Probability 52, no. 4 (December 2015): 1175–82. http://dx.doi.org/10.1239/jap/1450802760.

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We analyze copulas with a nontrivial singular component by using their Markov kernel representation. In particular, we provide existence results for copulas with a prescribed singular component. The constructions not only help to deal with problems related to multivariate stochastic systems of lifetimes when joint defaults can occur with a nonzero probability, but even provide a copula maximizing the probability of joint default.
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Durante, Fabrizio, Juan Fernández-Sánchez, and Wolfgang Trutschnig. "On the singular components of a copula." Journal of Applied Probability 52, no. 04 (December 2015): 1175–82. http://dx.doi.org/10.1017/s0021900200113154.

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We analyze copulas with a nontrivial singular component by using their Markov kernel representation. In particular, we provide existence results for copulas with a prescribed singular component. The constructions not only help to deal with problems related to multivariate stochastic systems of lifetimes when joint defaults can occur with a nonzero probability, but even provide a copula maximizing the probability of joint default.
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Husodo, Zaafri Ananto, Sigit Sulistyo Wibowo, Muhammad Budi Prasetyo, Usman Arief, and Maulana Harris Muhajir. "ESTIMATING A JOINT PROBABILITY OF DEFAULT INDEX FOR INDONESIAN BANKS: A COPULA APPROACH." Buletin Ekonomi Moneter dan Perbankan 23, no. 3 (December 2, 2020): 389–412. http://dx.doi.org/10.21098/bemp.v23i3.1358.

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We develop a joint default probability index to signal potential systemic risks in the highly concentrated Indonesian banking industry. To build the index, we estimate bank-level tail risks using monthly bank financial reports. We use the copula approach to derive the joint multivariate dependencies at the bank level, as reflected in the monthly financial reports. Our results, which are based on a sample of 104 banks fromDecember 2003 to April 2020, show joint multivariate dependencies at the bank level suggesting that the standard univariate normal distribution is unsuitable for capturing tail risks of individual banks. Our index accurately captures the global financial crisis of 2007-2008 indicating that it is a valid joint default probability index. Further, our index also signaled a higher degree of joint default before the COVID-19 outbreak in2020, suggesting that it is a good indicator of potential systemic risk in the economy.
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Chen, Yu, and Yu Xing. "Basket Credit Default Swap Pricing with Two Defaultable Counterparties." Discrete Dynamics in Nature and Society 2022 (March 22, 2022): 1–17. http://dx.doi.org/10.1155/2022/3844001.

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In this paper, we study the basket CDS pricing with two defaultable counterparties based on the reduced-form model. The default jump intensities of the reference firms and counterparties are all assumed to follow the mean-reverting constant elasticity of variance (CEV) processes. Taking the Vasicek process which is a special case of CEV process as an example, the approximate analytic solutions of the joint survival probability density, the probability densities of the first default and the first two defaults can be solved by using PDE method. In addition, we also extend the Vasciek process to the Vasciek process with cojumps and obtain the approximate closed-form solutions of the relevant default probability densities. Then with the expressions of the probability densities, we can get the formula of the basket CDS price with two defaultable counterparties. In the numerical analysis, we do sensitivity analysis and compare the basket CDS prices under our model with that with only one defaultable counterparty. The numerical results show that our model can be applied into practice.
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LI, WEIPING, and TIM KREHBIEL. "AN IMPROVED APPROACH TO EVALUATE DEFAULT PROBABILITIES AND DEFAULT CORRELATIONS WITH CONSISTENCY." International Journal of Theoretical and Applied Finance 19, no. 05 (July 29, 2016): 1650036. http://dx.doi.org/10.1142/s0219024916500369.

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We provide (i) a simplified analytic closed form formula for evaluating joint default probability, (ii) an improved method to resolve the inconsistency between the univariate process underlying firm-specific default probability and the correlated bivariate process of the first-passage-time default correlation model, (iii) illustration of risk management implications from misspecification of the default state space. Our closed form formula provides a natural extension of previous structural first-passage-time models and shows the sensitivities of default correlation numerically with respect to the underlying asset correlation, obligor credit quality and time horizon. We emphasize the disparate credit risk management implications of our result in contrast to commonly used risk measurement methods.
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Pang, Sulin, Jinwang Xiao, and Shuqing Li. "Pricing method and applications for the farmer's joint liability based on intensity model and Monte Carlo simulation." Journal of Financial Engineering 02, no. 01 (March 2015): 1550008. http://dx.doi.org/10.1142/s2345768615500087.

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This paper studies the pricing problem of group lending using the strength model and the Monte Carlo simulation method. Simulating the default process of farmers with a Poisson process, this paper describes the default distribution for farmers, and based on which the paper establishes the pricing model of the group lending and obtains the critical number of the defaulted farmers and the default probability for the group. Next, this paper introduces the t-Copula function to describe the default correlation between farmers, and obtains the partially analytical solution of the loan rate for the group lending, and it also provides the Monte Carlo simulation algorithm for the pricing of group lending based on t-Copula function. Finally, this paper carries out the Monte Carlo simulation algorithm on the pricing problem of group lending with three and five peasant households through an example, and discusses the relationship between the loan rate and each of the influencing factors in the pricing model of the group lending.
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Pianeti, Riccardo, Rosella Giacometti, and Valentina Acerbis. "Estimating the Joint Probability of Default Using CreditDefault Swap and Bond Data." Journal of Fixed Income 21, no. 3 (December 31, 2011): 44–58. http://dx.doi.org/10.3905/jfi.2012.21.3.044.

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CIRILLO, PASQUALE, JÜRG HÜSLER, and PIETRO MULIERE. "A NONPARAMETRIC URN-BASED APPROACH TO INTERACTING FAILING SYSTEMS WITH AN APPLICATION TO CREDIT RISK MODELING." International Journal of Theoretical and Applied Finance 13, no. 08 (December 2010): 1223–40. http://dx.doi.org/10.1142/s0219024910006170.

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In this paper we propose a new nonparametric approach to interacting failing systems (FS), that is systems whose probability of failure is not negligible in a fixed time horizon, a typical example being firms and financial bonds. The main purpose when studying a FS is to calculate the probability of default and the distribution of the number of failures that may occur during the observation period. A model used to study a failing system is defined default model. In particular, we present a general recursive model constructed by the means of interacting urns. After introducing the theoretical model and its properties we show a first application to credit risk modeling, showing how to assess the idiosyncratic probability of default of an obligor and the joint probability of failure of a set of obligors in a portfolio of risks, that are divided into reliability classes.
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Orlando, Giuseppe, and Roberta Pelosi. "Non-Performing Loans for Italian Companies: When Time Matters. An Empirical Research on Estimating Probability to Default and Loss Given Default." International Journal of Financial Studies 8, no. 4 (November 9, 2020): 68. http://dx.doi.org/10.3390/ijfs8040068.

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Within bank activities, which is normally defined as the joint exercise of savings collection and credit supply, risk-taking is natural, as in many human activities. Among risks related to credit intermediation, credit risk assumes particular importance. It is most simply defined as the potential that a bank borrower or counterparty fails to fulfil correctly at maturity the pecuniary obligations assumed as principal and interest. Whenever this happens, a loan is non-performing. Among the main risk components, the Probability of Default (PD) and the Loss Given Default (LGD) have been the subject of greater interest for research. In this paper, logit model is used to predict both components. Financial ratios are used to estimate the PD. Time of recovery and presence of collateral are used as covariates of the LGD. Here, we confirm that the main driver of economic losses is the bureaucratically encumbered recovery system and the related legal environment. The long time required by Italian bureaucratic procedures, simply put, seems to lower dramatically the chance of recovery from defaulting counterparties.
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Dissertations / Theses on the topic "Joint default probability"

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Lai, Kuang-erh, and 賴光二. "Assessing the Risk of Credit Guaranteed Loans to SMEs：Based on the Probability of Default and Recovery Rate Calculated by a Joint Parameters Estimation Approach." Thesis, 2010. http://ndltd.ncl.edu.tw/handle/98088571374843002598.

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博士
國立中山大學
財務管理學系研究所
98
In almost all nations, credit guarantee is an important system that the government relies on to help small and medium enterprises (SMEs) obtain finance and provide guidance to them. In Taiwan, Small and Medium Enterprise Credit Guarantee Fund (SMEG) is an institution mandated by the government to assist SMEs to obtain necessary funds from financial institutions. Although SMEG is a non-profit organization, its financial status still affects its sustainability. Therefore, this paper modifies the model presented by Merrick (2001) and uses data of loans submitted by a domestic bank to SMEG for credit guarantee to estimate probability of default and recovery rate of credit guaranteed loans. As this model quantifies risk of credit guarantee, it can help SMEG calculate the necessary reserve for prepayment in subrogation. In this increasingly complicated financial environment, quality of risk control determines the prosperity or survival of an organization. The proposed model is a feasible risk evaluation model that credit guarantee institutions can utilize to effectively improve their quality of risk control.
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Book chapters on the topic "Joint default probability"

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Han, Chuan-Hsiang. "Importance Sampling Estimation of Joint Default Probability under Structural-Form Models with Stochastic Correlation." In Monte Carlo and Quasi-Monte Carlo Methods 2010, 409–18. Berlin, Heidelberg: Springer Berlin Heidelberg, 2012. http://dx.doi.org/10.1007/978-3-642-27440-4_22.

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Mai, Jan-Frederik, and Matthias Scherer. "Simulating from the Copula that Generates the Maximal Probability for a Joint Default Under Given (Inhomogeneous) Marginals." In Springer Proceedings in Mathematics & Statistics, 333–41. New York, NY: Springer New York, 2014. http://dx.doi.org/10.1007/978-1-4939-2104-1_32.

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Conference papers on the topic "Joint default probability"

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Ceylan, Ismail Ilkan, Adnan Darwiche, and Guy Van den Broeck. "Open-World Probabilistic Databases: An Abridged Report." In Twenty-Sixth International Joint Conference on Artificial Intelligence. California: International Joint Conferences on Artificial Intelligence Organization, 2017. http://dx.doi.org/10.24963/ijcai.2017/669.

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Large-scale probabilistic knowledge bases are becoming increasingly important in academia and industry alike. They are constantly extended with new data, powered by modern information extraction tools that associate probabilities with database tuples. In this paper, we revisit the semantics underlying such systems. In particular, the closed-world assumption of probabilistic databases, that facts not in the database have probability zero, clearly conflicts with their everyday use. To address this discrepancy, we propose an open-world probabilistic database semantics, which relaxes the probabilities of open facts to default intervals. For this open-world setting, we lift the existing data complexity dichotomy of probabilistic databases, and propose an efficient evaluation algorithm for unions of conjunctive queries. We also show that query evaluation can become harder for non-monotone queries.
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Lu, Yang-Cheng, and Yaw-Chu Chen. "Applying fuzzy multi-criteria decision method to evaluate the credibility ranking for Taiwan banksaAa_ potential debtors from the viewpoint of default probability-A Taiwan LCD panels industry case." In 9th Joint Conference on Information Sciences. Paris, France: Atlantis Press, 2006. http://dx.doi.org/10.2991/jcis.2006.166.

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Shakarji, Craig M. "Understanding the Ramifications of Important Proposed Changes to Decision Rules in Three Standrads within ISO and ASME." In NCSL International Workshop & Symposium. NCSL International, 2015. http://dx.doi.org/10.51843/wsproceedings.2015.49.

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Decision rules define how measurement uncertainty is used (in conjunction with measured values and specification zones) to make acceptance or rejection decisions of products. Decision rule changes that are being proposed in key standards-some of which are quite likely to be implemented-can have important ramifications to the metrological world. Firstly, this paper seeks to highlight proposed changes to ISO 14253-1, which standardizes the default decision rule for the scope of ISO/TC 213, Dimensional and geometrical product specification and verification. Briefly, the change is a shift from a universally-applied guard band with a magnitude equal to 100 % of the expanded (k = 2) uncertainty to a more general guard band equal to the 95th percentile of the error distribution, which is equivalent (in most cases) to a guard band equal to 82.5 % of the (k = 2) expanded uncertainty. Secondly, this paper seeks to highlight a proposed addition to ASME B89.7.3.1, a standard dealing with decision rules. The proposal-presented at a recent B89.7 meeting-could lead to an additional definition of an extended 4:1 simple acceptance/rejection decision rule that allows for acceptance and rejection decisions in some cases when 4:1 is not met, yet the measured value is sufficiently far from the specification limit such that the risk probability is no greater than that implied by the conventional 4:1 rule. Finally, this paper seeks to highlight a proposal from a joint working group between ASME B89 and Y14.5, to be made at the design stage, that can influence decision rule requirements, based on a designer's need to mitigate the risk of potential pass errors. The proposed design requirement would not explicitly state the decision rule but would limit the maximum probable error and hence constrain a metrologist's choice of decision rules. While the authors-who are members of these standards bodies-view these proposed changes as generally favorable, the metrology community should be well aware of the implications of these proposed changes and have appropriate means for feedback into these standards setting organizations at this stage of development.
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