Статті в журналах: "Joint default probability"

1

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.

Повний текст джерела

Анотація:

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.

Стилі APA, Harvard, Vancouver, ISO та ін.

2

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.

Повний текст джерела

Анотація:

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.

Стилі APA, Harvard, Vancouver, ISO та ін.

3

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.

Повний текст джерела

Анотація:

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.

Стилі APA, Harvard, Vancouver, ISO та ін.

4

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.

Повний текст джерела

Анотація:

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.

Стилі APA, Harvard, Vancouver, ISO та ін.

5

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.

Повний текст джерела

Анотація:

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.

Стилі APA, Harvard, Vancouver, ISO та ін.

6

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.

Повний текст джерела

Анотація:

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.

Стилі APA, Harvard, Vancouver, ISO та ін.

7

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.

Повний текст джерела

Анотація:

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.

Стилі APA, Harvard, Vancouver, ISO та ін.

8

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.

Повний текст джерела

Стилі APA, Harvard, Vancouver, ISO та ін.

9

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.

Повний текст джерела

Анотація:

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.

Стилі APA, Harvard, Vancouver, ISO та ін.

10

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.

Повний текст джерела

Анотація:

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.

Стилі APA, Harvard, Vancouver, ISO та ін.

11

문호성 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.

Повний текст джерела

Стилі APA, Harvard, Vancouver, ISO та ін.

12

MIYAZAKI, 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.

Повний текст джерела

Анотація:

In this study, we identify the determinants of a simultaneous crash in gold and stock markets by employing an ordered logit model. We find that a default spread, among the various financial risk indicators, is a valid determinant and that changes in investors’ beliefs, their uncertainties, and surprise changes in these uncertainties about gold and stock markets contain useful information for explaining the occurrence of a simultaneous crash in the two markets. Further, we recognize that the effect of some covariates on crash probability is state-dependent. In addition to these empirical results, a notable finding is that the occurrence of a crash in one market on a previous day does not raise the probability of the occurrence of a crash in another market the next day, implying that a joint crash occurs abruptly and not in a chain reaction. This finding reveals that diversification to gold is still beneficial to investors.

Стилі APA, Harvard, Vancouver, ISO та ін.

13

LEVENDORSKIĬ, 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.

Повний текст джерела

Анотація:

For prices of options with barrier and lookback features, defaultable bonds and credit default swaps (CDSs), and probability distribution functions in Lévy models, as well as for joint probability distributions of a Lévy process and its supremum or/and infimum, one can derive explicit analytical formulas in terms of inverse Laplace/Fourier transforms and the Wiener–Hopf factorization. Unless the characteristic exponent is rational, the main examples being Brownian motion, double exponential jump-diffusion and hyper-exponential jump-diffusion models, accurate numerical realization of these formulas is difficult or very time consuming, especially for options of very long and very short maturities. In this paper, a systematic approach to contour deformations in pricing formulas is developed, which greatly increases the accuracy and speed of calculations; the efficiency of the method is demonstrated with numerical examples. For options and CDSs of moderate and long maturities, much faster asymptotic formulas of comparable level of accuracy are developed.

Стилі APA, Harvard, Vancouver, ISO та ін.

14

Dzhafarov, 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.

Повний текст джерела

Анотація:

This paper deals with three traditional ways of defining contextuality: (C1) in terms of (non)existence of certain joint distributions involving measurements made in several mutually exclusive contexts; (C2) in terms of relationship between factual measurements in a given context and counterfactual measurements that could be made if one used other contexts; and (C3) in terms of (non)existence of ‘hidden variables’ that determine the outcomes of all factually performed measurements. It is generally believed that the three meanings are equivalent, but the issues involved are not entirely transparent. Thus, arguments have been offered that C2 may have nothing to do with C1, and the traditional formulation of C1 itself encounters difficulties when measurement outcomes in a contextual system are treated as random variables. I show that if C1 is formulated within the framework of the Contextuality-by-Default (CbD) theory, the notion of a probabilistic coupling, the core mathematical tool of CbD, subsumes both counterfactual values and ‘hidden variables’. In the latter case, a coupling itself can be viewed as a maximally parsimonious choice of a hidden variable. This article is part of the theme issue ‘Contextuality and probability in quantum mechanics and beyond’.

Стилі APA, Harvard, Vancouver, ISO та ін.

15

Zhang, 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.

Повний текст джерела

Анотація:

One of the main issues in the recent Chinese financial reform is aimed at effectively measuring systemic risk and taking appropriate measures to ensure its sustainability and prevent new crises. In this paper, we firstly introduced the present macro-prudential policies implied in China and pointed out the existing problems. Secondly, we analyzed the banks’ assets riskiness and the banks’ probability to default, then, by means of a leave-one-out model, we measured each commercial bank systemic risk contribution. Thirdly, based on comprehensive empirical results and theoretical analysis, we provided some references for macro-prudential regulation and supervision. Results show that systemic risk is increasing in 2013–2017, in particular with reference to contagion risk, with a specific concentration within joint-stock commercial banks, suggesting a specific attention of regulators and supervisors for this category.

Стилі APA, Harvard, Vancouver, ISO та ін.

16

Khrennikov, Andrei. "Contextuality, Complementarity, Signaling, and Bell Tests." Entropy 24, no. 10 (September 28, 2022): 1380. http://dx.doi.org/10.3390/e24101380.

Повний текст джерела

Анотація:

This is a review devoted to the complementarity–contextuality interplay with connection to the Bell inequalities. Starting the discussion with complementarity, I point to contextuality as its seed. Bohr contextuality is the dependence of an observable’s outcome on the experimental context; on the system–apparatus interaction. Probabilistically, complementarity means that the joint probability distribution (JPD) does not exist. Instead of the JPD, one has to operate with contextual probabilities. The Bell inequalities are interpreted as the statistical tests of contextuality, and hence, incompatibility. For context-dependent probabilities, these inequalities may be violated. I stress that contextuality tested by the Bell inequalities is the so-called joint measurement contextuality (JMC), the special case of Bohr’s contextuality. Then, I examine the role of signaling (marginal inconsistency). In QM, signaling can be considered as an experimental artifact. However, often, experimental data have signaling patterns. I discuss possible sources of signaling—for example, dependence of the state preparation on measurement settings. In principle, one can extract the measure of “pure contextuality” from data shadowed by signaling. This theory is known as contextuality by default (CbD). It leads to inequalities with an additional term quantifying signaling: Bell–Dzhafarov–Kujala inequalities.

Стилі APA, Harvard, Vancouver, ISO та ін.

17

Cossin, 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.

Повний текст джерела

Анотація:

One of the key questions in credit dependence modelling is the specfication of the copula function linking the marginals of default variables. Copulae functions are important because they allow to decouple statistical inference into two parts: inference of the marginals and inference of the dependence. This is particularly important in the area of credit risk where information on dependence is scant. Whereas the techniques to estimate the parameters of the copula function seem to be fairly well established, the choice of the copula function is still an open problem. We find out by simulation that the t-copula naturally arises from a structural model of credit risk, proposed by Cossin and Schellhorn (2007). If revenues are linked by a Gaussian copula, we demonstrate that the t-copula provides a better fit to simulations than does a Gaussian copula. This is done under various specfications of the marginals and various configurations of the network. Beyond its quantitative importance, this result is qualitatively intriguing. Student's t-copulae induce fatter (joint) tails than Gaussian copulae ceteris paribus. On the other hand observed credit spreads have generally fatter joint tails than the ones implied by the Gaussian distribution. We thus provide a new statistical explanation why (i) credit spreads have fat joint tails, and (ii) financial crises are amplified by network effects.

Стилі APA, Harvard, Vancouver, ISO та ін.

18

Roh, 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.

Повний текст джерела

Анотація:

Abstract The cloud and precipitation simulated by a global nonhydrostatic model with a 3.5-km horizontal resolution, the Nonhydrostatic Icosahedral Atmospheric Model (NICAM), are evaluated using the Tropical Rainfall Measuring Mission (TRMM) and a satellite simulator. A previous study by Roh and Satoh evaluated the single-moment bulk microphysics and established the modified microphysics scheme for the specific tropical open ocean using a regional version of NICAM. In this study, the authors expanded the evaluation over the entire tropics and parts of the midlatitude areas (20°–36°S, 20°–36°N) using a joint histogram of the cloud-top temperature and precipitation echo-top heights and contoured frequency by altitude diagrams of the deep convective systems. The modified microphysics simulation improves the joint probability density functions of the cloud-top temperatures and precipitation cloud-top heights over not only the tropical ocean but also the land and midlatitude areas. Compared with the default microphysics simulation, the modified microphysics simulation shows a clearer distinction between the land and ocean in the tropics, which is related to the contrast between the shallow and the deep clouds. In addition, the two microphysics simulation methods were also compared over the tropics using joint histograms of the cloud-top and precipitation cloud-top heights on the basis of CloudSat measurements. It was found that the microphysics scheme that was modified for the tropical ocean displayed general cloud and precipitation improvements in the global domain over the tropics.

Стилі APA, Harvard, Vancouver, ISO та ін.

19

Li, 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.

Повний текст джерела

Анотація:

This paper develops a coordinate rating for Credit Rating Agencies (CRAs) in the rating market. We first show that there is a necessary condition for the restructured sub-portfolios to have no-arbitrage principle for coordinate ratings. The coordinate rating is not only a natural extension of a single rating, but also reduces the rating bias and increases the rating accuracy. We solve the voluntary-disclosure decision problem for the issuer in terms of coordinate ratings. Furthermore, we show that the complexities of sub-portfolios do reduce the incentive to shop for the coordinate rating by comparing it with the incentive to shop for a single rating. The correlation among sub-portfolios also affect the incentive to shop in the coordinate rating. We advocate four principles for the credit rating system, from adapting coordinate ratings and reducing conflicts of interest to encouraging competition among CRAs and ensuring incentive alignment. We also build a model with disapproval correlation among CRAs and show that the probability of the joint disapproval is extremely sensitive to the disapproval correlation, even though the correlation may be very small in absolute value. Under an approval arrangement from the regulator in terms of the default rate within a CRA, we show that there exists a sub-game perfect equilibrium in which both approved CRAs provide correct coordinate ratings.

Стилі APA, Harvard, Vancouver, ISO та ін.

20

Pinto, 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.

Повний текст джерела

Анотація:

Bridges are essential structures in the logistic chain of countries, making it critical to design them to be as resilient as possible. One way to achieve this is through performance-based seismic design (PBSD), which involves using nonlinear Finite Element (FE) models to predict the response and potential damage of different structural components under earthquake excitations. Nonlinear FE models need accurate constitutive models of material and components. Among them, seismic bars and laminated elastomeric bearings play an important role in a bridge’s response to earthquakes; therefore, properly validated and calibrated models should be proposed. Only default parameter values from the early development of the constitutive models widely used by researchers and practitioners for these components tend to be used, and low identifiability of its governing parameters and the high cost of generating reliable experimental data have prevented a thorough probabilistic characterization of their model parameters. To address this issue, this study implements a Bayesian probabilistic framework using Sequential Monte Carlo (SMC) for updating the parameters of constitutive models of seismic bars and elastomeric bearings and proposes joint probability density functions (PDF) for the most influential parameters. The framework is based on actual data from comprehensive experimental campaigns. The PDFs are obtained from independent tests conducted on different seismic bars and elastomeric bearings, to then consolidate all the information in a single PDF for each modeling parameter by means of the conflation methodology, where the mean, coefficient of variation, and correlation between calibrated parameters are obtained for each bridge component. Finally, findings show that the incorporation of model parameter uncertainty through a probabilistic framework will allow for a more accurate prediction of the response of bridges under strong earthquakes.

Стилі APA, Harvard, Vancouver, ISO та ін.

21

Tao, 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.

Повний текст джерела

Анотація:

The signal gaming model based on incomplete information is used to analyze the decisions of commercial banks and medium-sized and small enterprises (SMEs) in supply chain finance business. It is found that the returns of banks are closely relied on the probability of good SMEs join which is proportional to θ (the probability of “good” SMEs in the market) and p (the probability of “good” SMEs chosen to join the supply chain finance) in supply chain finance business, and the default cost is an important constrain for determining the strategies adopted by the SMEs and the banks. To achieve higher returns, SMEs and banks should make effects to create a better supply chain finance business environment to achieve the separation equilibrium.

Стилі APA, Harvard, Vancouver, ISO та ін.

22

Caselli, 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.

Повний текст джерела

Анотація:

Abstract This paper joins a rapidly growing body of literature that aims to uncover the link between monetary policy and bank risk taking. We investigate the hypothesis that the ownership composition of the banking system moderates monetary policy transmission via the risk-taking channel. Borrowing measures used in ecology to quantify diversity of species within an ecosystem and first applied to the field of finance by Michie, J. and Oughton, C. 2013. ‘Measuring Diversity in Financial Services Markets: A Diversity Index’, Centre for Financial and Management Studies Discussion Papers no. 113, this paper shows that the impact of exogenous monetary policy shocks on banks’ probability of default is reduced in countries with greater ownership diversity. We also find that—ceteris paribus—shareholder- and stakeholder-oriented banks located in more ownership-diverse systems tend to have a lower appetite for risk than their counterparts operating in less diverse markets. These results are robust across several econometric specifications and emphasise the stabilising role played by ownership diversity in modern financial systems. At the same time, our evidence suggests that a more interdisciplinary approach, firmly grounded in the applied, empirical research methodology, can provide novel and useful insights into the implications of monetary policy for financial and economic outcomes.

Стилі APA, Harvard, Vancouver, ISO та ін.

23

Chen, 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.

Повний текст джерела

Анотація:

Abstract In this paper, we study the credit default swap (CDS) pricing with counterparty risk in a reduced form model. The default jump intensities of the reference firm and counterparty are both assumed to follow the mean-reverting CIR processes with independent jumps respectively and a common jump. The approximate closed-form solutions of the joint survival probability density and the probability density of the first default can be obtained by using the PDE method. Then with the expressions of the probability densities, we can get the formula for the CDS price with counterparty risk in a reduced form model with a common jump. In the numerical analysis part, we find that the default of the reference asset has a greater impact on the CDS price than that of the default of counterparty after introducing the common jump process.

Стилі APA, Harvard, Vancouver, ISO та ін.

24

Bochmann, 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.

Повний текст джерела

Стилі APA, Harvard, Vancouver, ISO та ін.

25

Vana, 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.

Повний текст джерела

Анотація:

In this article, we propose a longitudinal multivariate model for binary and ordinal outcomes to describe the dynamic relationship among firm defaults and credit ratings from various raters. The latent probability of default is modelled as a dynamic process which contains additive firm-specific effects, a latent systematic factor representing the business cycle and idiosyncratic observed and unobserved factors. The joint set-up also facilitates the estimation of a bias for each rater which captures changes in the rating standards of the rating agencies. Bayesian estimation techniques are employed to estimate the parameters of interest. Several models are compared based on their out-of-sample prediction ability and we find that the proposed model outperforms simpler specifications. The joint framework is illustrated on a sample of publicly traded US corporates which are rated by at least one of the credit rating agencies S&P, Moody's and Fitch during the period 1995–2014.

Стилі APA, Harvard, Vancouver, ISO та ін.

26

Azamighaimasi, 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.

Повний текст джерела

Анотація:

We consider portfolio credit risk modeling with a focus on two approaches, the factor model, and the copula model. While other models have received greater scrutiny, both factor and cupola models have received little attention although these are appropriate for rating-based portfolio risk analysis. We review the two models with emphasis on the joint default probability. The copula function describes the dependence structure of a multivariate random variable. In this paper, it is used as a practical to simulation of generate portfolio with different copula, we only use Gaussian and t-copula case. And we generate portfolio default distributions and study the sensitivity of commonly used risk measures with respect to the approach in modeling the dependence structure of the portfolio.

Стилі APA, Harvard, Vancouver, ISO та ін.

27

Mroz, 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.

Повний текст джерела

Стилі APA, Harvard, Vancouver, ISO та ін.

28

Zhang, 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.

Повний текст джерела

Стилі APA, Harvard, Vancouver, ISO та ін.

29

McNorgan, 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.

Повний текст джерела

Анотація:

A mixed literature implicates atypical connectivity involving attentional, reward and task inhibition networks in ADHD. The neural mechanisms underlying the utility of behavioral tasks in ADHD diagnosis are likewise underexplored. We hypothesized that a machine-learning classifier may use task-based functional connectivity to compute a joint probability function that identifies connectivity signatures that accurately predict ADHD diagnosis and performance on a clinically-relevant behavioral task, providing an explicit neural mechanism linking behavioral phenotype to diagnosis. We analyzed archival MRI and behavioral data of 80 participants (64 male) who had completed the go/no-go task from the longitudinal follow-up of the Multimodal Treatment Study of ADHD (MTA 168) (mean age = 24 years). Cross-mutual information within a functionally-defined mask measured functional connectivity for each task run. Multilayer feedforward classifier models identified the subset of functional connections that predicted clinical diagnosis (ADHD vs. Control) and split-half performance on the Iowa Gambling Task (IGT). A sample of random models trained on functional connectivity profiles predicted validation set clinical diagnosis and IGT performance with 0.91 accuracy and d′ > 2.9, indicating very high sensitivity and specificity. We identified the most diagnostic functional connections between visual and ventral attentional networks and the anterior default mode network. Our results show that task-based functional connectivity is a biomarker of ADHD. Our analytic framework provides a template approach that explicitly ties behavioral assessment measures to both clinical diagnosis, and functional connectivity. This may differentiate otherwise similar diagnoses, and promote more efficacious intervention strategies.

Стилі APA, Harvard, Vancouver, ISO та ін.

30

Shi, 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.

Повний текст джерела

Анотація:

Abstract Export credit insurance plays an important role in promoting exportation, and thus it represents a guarantee of payment receivable for exporter. It not only offers a good way to disperse and release risk caused by uncertainty of foreign countries and importers’ credit, but also inspires a good finance support for exporter. Export corporations can apply loan from banks easily with the guarantee of export credit insurance. Characterized with lower threshold, export credit insurance finance(ECIF) becomes a good funding choice especially for small and medium companies and brings considerable intermediate businesses to commercial banks. Despite the benefits of ECIF, false trades appear frequently due to the intricate risks that are hard to be measured by quantitative method. The risks covered by export credit insurance include commercial risk and political risk. Commercial risks can be classified by two reasons: importer bankruptcy and importer collusion with exporter. The risk of insolvency can be measured by modern credit risk models, however, the probability that importer breaches a contract due to dishonesty is hard to be discerned because of information asymmetry and high cost of investigation. In ECIF, the risk is even harder to be measured as risks form both importer and exporter are involved. Game theory is widely used in adverse selection and moral hazard. The application of game theory inspired a microeconomic way of risk analysis in ECIF. The case of ECIF can be a seen as a game among the export enterprise, importer, insurer and bank. This paper will figure out the utility of each party under certain default situation and analyze each risk factor. We adopt joint game approach and tree model to obtain the equilibrium result. The purpose is to maximize the expected utility of each party and minimize the probability of exporter and importer’s collusion as they are the core reasons for the loss of commercial bank and export credit agency (ECA). Since the export credit insurance industry and related risk research are still in the early stage in China, we hope this study can enlighten a new way of risk analysis on ECIF.

Стилі APA, Harvard, Vancouver, ISO та ін.

Статті в журналах з теми "Joint default probability"

Оформте джерело за APA, MLA, Chicago, Harvard та іншими стилями