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Company value with ruin constraint in a discrete model
Hipp, Christian - In: Risks : open access journal 6 (2018) 1, pp. 1-14
Optimal dividend payment under a ruin constraint is a two objective control problem which-in simple models-can be … levels and a closed formula for the corresponding dividend value. Using the running allowed ruin probabilities, a simple test ….2.2, also yields optimal dividend strategies which differ from those in all other methods, and Lagrange gaps are present here. …
Persistent link: https://www.econbiz.de/10011811530
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Company value with ruin constraint in Lundberg models
Hipp, Christian - In: Risks : open access journal 6 (2018) 3, pp. 1-15
, dividend strategies are considered which are based on barrier sequences. In our continuous state model, optimal barriers can be … computed with the Lagrange method leading to a backward recursion scheme. The resulting dividend strategies will not always be …
Persistent link: https://www.econbiz.de/10011890686
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Modelling recovery rates for non-performing loans
Ye, Hui; Bellotti, Anthony - In: Risks : open access journal 7 (2019) 1/19, pp. 1-17
Based on a rich dataset of recoveries donated by a debt collection business, recovery rates for non-performing loans taken from a single European country are modelled using linear regression, linear regression with Lasso, beta regression and inflated beta regression. We also propose a two-stage...
Persistent link: https://www.econbiz.de/10012016013
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Default ambiguity
Fadina, Tolulope; Schmidt, Thorsten - In: Risks : open access journal 7 (2019) 2/64, pp. 1-17
This paper discusses ambiguity in the context of single-name credit risk. We focus on uncertainty in the default intensity but also discuss uncertainty in the recovery in a fractional recovery of the market value. This approach is a first step towards integrating uncertainty in credit-risky term...
Persistent link: https://www.econbiz.de/10012018930
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The determinants of market-implied recovery rates
François, Pascal - In: Risks : open access journal 7 (2019) 2/57, pp. 1-15
In the presence of recovery risk, the recovery rate is a random variable whose risk-neutral expectation can be inferred from the prices of defaultable instruments. I extract market-implied recovery rates from the term structures of credit default swap spreads for a sample of 497 United States...
Persistent link: https://www.econbiz.de/10012019023
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Aggregation of incidence and intensity risk variables to achieve reconciliation
Hunt, Clive; Taplin, Ross - In: Risks : open access journal 7 (2019) 4/107, pp. 1-14
The aggregation of individual risks into total risk using a weighting variable multiplied by two ratio variables representing incidence and intensity is an important task for risk professionals. For example, expected loss (EL) of a loan is the product of exposure at default (EAD), probability of...
Persistent link: https://www.econbiz.de/10012127917
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Using cutting-edge tree-based stochastic models to predict credit risk
Halteh, Khaled; Kumar, Kuldeep; Gepp, Adrian - In: Risks : open access journal 6 (2018) 2, pp. 1-13
Credit risk is a critical issue that affects banks and companies on a global scale. Possessing the ability to accurately predict the level of credit risk has the potential to help the lender and borrower. This is achieved by alleviating the number of loans provided to borrowers with poor...
Persistent link: https://www.econbiz.de/10011867384
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A machine learning approach for micro-credit scoring
Ampountolas, Apostolos; Nde, Titus Nyarko; Date, Paresh; … - In: Risks : open access journal 9 (2021) 3, pp. 1-20
In micro-lending markets, lack of recorded credit history is a significant impediment to assessing individual borrowers' creditworthiness and therefore deciding fair interest rates. This research compares various machine learning algorithms on real micro-lending data to test their efficacy at...
Persistent link: https://www.econbiz.de/10012508509
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A multi-state approach to modelling intermediate events and multiple mortgage loan outcomes
Chamboko, Richard; Bravo, Jorge Miguel Ventura - In: Risks : open access journal 8 (2020) 2/64, pp. 1-28
This paper proposes a novel system-wide multi-state framework to model state occupations and the transitions among current, delinquency, default, prepayment, repurchase, short sale and foreclosure on mortgage loans. The approach allows for the modelling of the progression of borrowers from one...
Persistent link: https://www.econbiz.de/10012293007
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Meta-learning approaches for recovery rate prediction
Gambetti, Paolo; Roccazzella, Francesco; Vrins, Frédéric - In: Risks : open access journal 10 (2022) 6, pp. 1-29
While previous academic research highlights the potential of machine learning and big data for predicting corporate bond recovery rates, the operations management challenge is to identify the relevant predictive variables and the appropriate model. In this paper, we use meta-learning to combine...
Persistent link: https://www.econbiz.de/10013363030