Credit scoring methods aim to assess the default risk of a potential borrower. This involves typically the calculation … of a credit score and the estimation of the probability of default. One of the standard approaches is logistic … discriminant analysis, also referred to as logit model. This model maps explanatory variables for the default risk to a credit …

Credit risk refers to the risk of incurring losses due to unexpected changes in the credit quality of a counterparty or … issuer. In this paper we give an introduction to the modeling of credit risks and the valuation of credit-risky securities …. We consider individual as well as correlated credit risks. -- compensator ; intensity ; credit risk ; default risk …

which succeeds with high probability. -- Hedging ; superhedging ; Neyman Pearson lemma ; stochastic volatility ; value at …

We establish a relation between stochastic volatility models and the class of generalized hyperbolic distributions …

Stochastic Volatility (SV) models are widely used in financial applications. To decide whether standard parametric …

mean. For the volatility function, i.e., the conditional variance given the past, a multiplicative structure is more … appropriate than an additive one, as the volatility is a positive scale function and a multiplicative model provides a better … additive mean and the multiplicative volatility. The technique used is marginally integrated local polynomial estimation. The …

simultaneous estimation of the interdependent duration-volatility model. In an empirical application we utilize the model for an … indirect test of the hypothesis that volatility is caused by private information that affects prices when informed investors … trade. The result that volatility shocks significantly increase expected inter-transaction durations supports this …

This paper offers a new approach for estimation and forecasting of the volatility of financial time series. No … assumption is made about the parametric form of the processes, on the contrary we only suppose that the volatility can be … homogeneity, then the estimate of the volatility can be simply obtained by local averaging. We construct a locally adaptive …

Multivariate Volatility Models belong to the class of nonlinear models for financial data. Here we want to focus on …