The aims of this paper are twofold: first, we attempt to express the threshold of a single quot;Aquot; rating as issued by major international rating agencies in terms of annualised probabilities of default. We use data from Standard amp; Poor's and Moody's publicly available rating histories to...

In this paper we analyse two common measures of discriminatory power - the Accuracy Ratio and the Area Under the Receiver Operator Characteristic - in a probabilistic framework. Under the assumption of a random default event, we verify that the measures will be portfolio dependent as discovered...

The validation of credit rating systems has recently attracted particular interest both from banks and their supervisors as well as from academic research. Whereas the main interest has been focused on backtesting methods, alternative approaches such as benchmarking are of growing importance....

Six major challenges confront statistical researchers attempting to quantify accurately the independent effect of neighbourhood context on individuals: (1) defining the scale of neighbourhood; (2) identifying mechanisms of neighbourhood effect; (3) measuring appropriate neighbourhood...

The problem of detecting unit roots in univariate and multivariate time series data is treated as a problem of multiple decisions instead of a testing problem, as is otherwise common in the econometric and statistical literature. Four examples for such multiple decision designs are considered:...

Flight training is a very complicated process. Including the full flight simulators makes this much more complicated, indeed supposed to make it easy. Flight simulators are very important devices, eliminating difficulties, cost and risks likely to be encountered in flight training. It is...

The dynamics of women’s labour supply are examined at a crucial stage of the life-cycle. This paper uses the longitudinal employment history records for 3,893 33-year-old mothers in the 5th sweep of the 1958 National Child Development Study cohort. Models of binary recurrent events are...

Contrary to Tests of Hypotheses intended to verify a priori hypotheses regarding relations between variables, Exploratory Data Analysis (EDA) is used to search and discover systematic relationships between variables by taking into count a large number of variables. In these exploratory...

This paper examines the very long-run relationship between income and emissions of enteric methane in New Zealand, over the period 1895 to 1996. Controlling the emissions of this particular greenhouse gas is of crucial importance if that country is to meet its obligations as a signatory to the...