Default prediction through probability of default modeling has attracted lots of research interests in the past literature and recent studies have shown that Artificial Intelligence (AI) methods achieved better performance than traditional statistical methods. This paper empirically investigates the results of...
Ţiţan, E, Tudor, A.I., "Conceptual and statistical issues regarding the probability of default and modelling default risk", Database Systems Journal, Vol. II, No. 1/2011, pg. 13-22.Ţiţan, E, Tudor, A.I., Conceptual and statistical issues regarding the probability of default ...
Mathematical and Statistical Methods for Actuarial Sciences and Finance (MAF 2018) || Probability of Default Modeling: A Machine Learning Approach 来自 onAcademic 喜欢 0 阅读量: 34 作者:M Corazza,M Durbán,A Grané,C Perna,M Sibillo DOI: 10.1007/978-3-319-89824-7_32 年份: 2018 ...
Probability of Default: A Modern Calibration ApproachProbability of Default: A Modern Calibration ApproachRating modelsCredit risk modelingBayesian econometric methodsEconomic cycleAn extensive academic and practitioner's literature exists on rating models development with well-structured statistical methods, howev...
Credit Risk: Classification Modeling "Probability of Default" Introduction: If you've ever applied for a credit card or loan, you know that financial firms process your information before making a decision. This is because giving you a loan can have a serious financial impact on their business....
Chapter 14 – Quantitative Credit and Market Risk Analysis: Analytical Techniques for Modeling Probability of Default, Loss Given Default, Economic Capital, Value at Risk, Portfolio Optimized Value at Risk, Interest Rates and Yield Curve, Delta-Gamma Hedging, Floating and Fixed Rates, Foreign Exchange...
16.Modeling the Probability of Default in Personal Loans:Heterogeneity Taken into Account;小额信贷之违约概率模型:特别考虑异质性 17.An Analysis of Maximum Probability and Minimum Risk about Futures Hedging;期货套期保值最大概率与最小风险分析 18.Monte Carlo Simulation Based Probabilistic Small Disturbance ...
This latter was derived as a special case of the more general credit portfolio modeling framework. Finally, the relation between risk parameters and macroeconomic variables was studied. A portfolio stress testing method was outlined by our pointing out the role of default probability, LGD, exposure,...
The main substantial features of the PD curve (default probability) formed in practical modeling are substantiated in the articles. It is proved that the m... Y Pavliuk,O Pavliuk - 《Financial & Credit Activity Problems of Theory & Practice》 被引量: 0发表: 2021年 Calibration of Internal ...
A probability may be called "default" if it is neither derived from preestablished probabilities nor based on considerations of frequency or symmetry. Default probabilities presumably arise through reasoning based on causality and similarity. This article advances a model of default probability based on...