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.
Full textDurante, 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.
Full textDurante, 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.
Full textHusodo, 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.
Full textChen, 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.
Full textLI, 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.
Full textPang, 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.
Full textPianeti, 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.
Full textCIRILLO, 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.
Full textOrlando, 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.
Full text문호성 and soowonmo. "The Assessment for Systemic Risk of Shipping Industry using Joint Probability of Default and Distress Dependence Matrix and Policy Implications." Journal of Shipping and Logistics 27, no. 1 (March 2011): 21–31. http://dx.doi.org/10.37059/tjosal.2011.27.1.21.
Full textMIYAZAKI, TAKASHI, and SHIGEYUKI HAMORI. "THE DETERMINANTS OF A SIMULTANEOUS CRASH IN GOLD AND STOCK MARKETS: AN ORDERED LOGIT APPROACH." Annals of Financial Economics 13, no. 01 (March 2018): 1850004. http://dx.doi.org/10.1142/s2010495218500045.
Full textLEVENDORSKIĬ, SERGEI. "METHOD OF PAIRED CONTOURS AND PRICING BARRIER OPTIONS AND CDSs OF LONG MATURITIES." International Journal of Theoretical and Applied Finance 17, no. 05 (July 28, 2014): 1450033. http://dx.doi.org/10.1142/s0219024914500332.
Full textDzhafarov, Ehtibar N. "On joint distributions, counterfactual values and hidden variables in understanding contextuality." Philosophical Transactions of the Royal Society A: Mathematical, Physical and Engineering Sciences 377, no. 2157 (September 16, 2019): 20190144. http://dx.doi.org/10.1098/rsta.2019.0144.
Full textZhang, Xiaoming, Chunyan Wei, and Stefano Zedda. "Analysis of China Commercial Banks’ Systemic Risk Sustainability through the Leave-One-Out Approach." Sustainability 12, no. 1 (December 25, 2019): 203. http://dx.doi.org/10.3390/su12010203.
Full textKhrennikov, Andrei. "Contextuality, Complementarity, Signaling, and Bell Tests." Entropy 24, no. 10 (September 28, 2022): 1380. http://dx.doi.org/10.3390/e24101380.
Full textCossin, Didier, Henry Schellhorn, Nan Song, and Satjaporn Tungsong. "A Theoretical Argument Why the t-Copula Explains Credit Risk Contagion Better than the Gaussian Copula." Advances in Decision Sciences 2010 (May 19, 2010): 1–29. http://dx.doi.org/10.1155/2010/546547.
Full textRoh, Woosub, Masaki Satoh, and Tomoe Nasuno. "Improvement of a Cloud Microphysics Scheme for a Global Nonhydrostatic Model Using TRMM and a Satellite Simulator." Journal of the Atmospheric Sciences 74, no. 1 (January 1, 2017): 167–84. http://dx.doi.org/10.1175/jas-d-16-0027.1.
Full textLi, Weiping. "Credit coordinate ratings with corresponding credit rating agencies and regulations." Journal of Financial Engineering 01, no. 01 (March 2014): 1450002. http://dx.doi.org/10.1142/s2345768614500020.
Full textPinto, Francisco J., José Toledo, Matías Birrell, Ramiro Bazáez, Francisco Hernández, and Rodrigo Astroza. "Uncertainty Quantification in Constitutive Models of Highway Bridge Components: Seismic Bars and Elastomeric Bearings." Materials 16, no. 5 (February 22, 2023): 1792. http://dx.doi.org/10.3390/ma16051792.
Full textTao, Zhang, Xin Li, Xinquan Liu, and Nana Feng. "Analysis of Signal Game for Supply Chain Finance (SCF) of MSEs and Banks Based on Incomplete Information Model." Discrete Dynamics in Nature and Society 2019 (March 26, 2019): 1–6. http://dx.doi.org/10.1155/2019/3646097.
Full textCaselli, Giorgio, Catarina Figueira, and Joseph G. Nellis. "Ownership diversity and the risk-taking channel of monetary policy transmission." Cambridge Journal of Economics 44, no. 6 (July 4, 2020): 1329–64. http://dx.doi.org/10.1093/cje/beaa011.
Full textChen, Yu, and Yu Xing. "Credit default swap pricing with counterparty risk in a reduced form model with a common jump process." Probability in the Engineering and Informational Sciences, February 22, 2022, 1–19. http://dx.doi.org/10.1017/s0269964822000018.
Full textBochmann, Paul, Paul Hiebert, Yves S. Schüler, and Miguel Segoviano. "Latent Fragility: Conditioning Banks' Joint Probability of Default on the Financial Cycle." SSRN Electronic Journal, 2022. http://dx.doi.org/10.2139/ssrn.4183056.
Full textVana, Laura, and Kurt Hornik. "Dynamic modelling of corporate credit ratings and defaults." Statistical Modelling, December 17, 2021, 1471082X2110576. http://dx.doi.org/10.1177/1471082x211057610.
Full textAzamighaimasi, Arsalan. "Portfolio Risk and Dependence Modeling: Application of Factor and Copula Models." International Journal of Banking and Finance, September 18, 2012. http://dx.doi.org/10.32890/ijbf2012.9.3.8455.
Full textMroz, Thomas, Juan Fernández Sánchez, Sebastian Fuchs, and Wolfgang Trutschnig. "On distributions with fixed marginals maximizing the joint or the prior default probability, estimation, and related results." Journal of Statistical Planning and Inference, July 2022. http://dx.doi.org/10.1016/j.jspi.2022.07.005.
Full textZhang, Yongtao, Hui Zhao, Ximin Rong, and Kai Han. "Optimal investment and reinsurance problem toward joint interests of the insurer and the reinsurer under default risk." Communications in Statistics - Theory and Methods, January 5, 2021, 1–25. http://dx.doi.org/10.1080/03610926.2020.1862872.
Full textMcNorgan, Chris, Cary Judson, Dakota Handzlik, and John G. Holden. "Linking ADHD and Behavioral Assessment Through Identification of Shared Diagnostic Task-Based Functional Connections." Frontiers in Physiology 11 (December 17, 2020). http://dx.doi.org/10.3389/fphys.2020.583005.
Full textShi, Yanjing, and Haiyan Wang. "Game Analysis of Risk Factors under Export Credit Insurance Finance." Asia-Pacific Journal of Risk and Insurance 12, no. 2 (June 26, 2018). http://dx.doi.org/10.1515/apjri-2017-0027.
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