Zobrazeno 1 - 10
of 338
pro vyhledávání: '"91g40"'
The financial industry has undergone a significant transition from the London Interbank Offered Rate (LIBOR) to Risk Free Rates (RFR) such as, e.g., the Secured Overnight Financing Rate (SOFR) in the U.S. and the AUD Overnight Index Average (AONIA) i
Externí odkaz:
http://arxiv.org/abs/2410.08477
The Statistical Classification of Economic Activities in the European Community (NACE) is the standard classification system for the categorization of economic and industrial activities within the European Union. This paper proposes a novel approach
Externí odkaz:
http://arxiv.org/abs/2409.11524
This paper introduces a novel stochastic model for credit spreads. The stochastic approach leverages the diffusion of default intensities via a CIR++ model and is formulated within a risk-neutral probability space. Our research primarily addresses tw
Externí odkaz:
http://arxiv.org/abs/2409.09179
In this paper we develop Maximum likelihood (ML) based algorithms to calibrate the model parameters in credit rating transition models. Since the credit rating transition models are not Gaussian linear models, the celebrated Kalman filter is not suit
Externí odkaz:
http://arxiv.org/abs/2405.00576
Autor:
Kalkbrener, Michael, Packham, Natalie
We develop a model for credit rating migration that accounts for the impact of economic state fluctuations on default probabilities. The joint process for the economic state and the rating is modelled as a time-homogeneous Markov chain. While the rat
Externí odkaz:
http://arxiv.org/abs/2403.14868
This paper addresses the ``curse of dimensionality'' in the loss valuation of credit risk models. A dimension reduction methodology based on the Bayesian filter and smoother is proposed. This methodology is designed to achieve a fast and accurate los
Externí odkaz:
http://arxiv.org/abs/2401.00085
In this paper we develop a framework for estimating Probability of Default (PD) based on stochastic models governing an appropriate asset value processes. In particular, we build upon a L\'evy-driven Ornstein-Uhlenbeck process and consider a generali
Externí odkaz:
http://arxiv.org/abs/2309.12384
The Population Stability Index (PSI) is a widely used measure in credit risk modeling and monitoring within the banking industry. Its purpose is to monitor for changes in the population underlying a model, such as a scorecard, to ensure that the curr
Externí odkaz:
http://arxiv.org/abs/2307.11878
In this paper we study nonlinear partial differential equations (PDEs) that are used to model different value adjustments denoted generally as xVA. These adjustments are nowadays commonly added to the risk-free financial derivative values and the PDE
Externí odkaz:
http://arxiv.org/abs/2306.17320
Autor:
Nendel, Max, Streicher, Jan
In this paper, we deal with an axiomatic approach to default risk. We introduce the notion of a default risk measure, which generalizes the classical probability of default (PD), and allows to incorporate model risk in various forms. We discuss diffe
Externí odkaz:
http://arxiv.org/abs/2303.08217