Principal component analysis (PCA) is a widely used dimension reduction tool in the analysis of high-dimensional data. However, in many applications such as risk quantification in finance or climatology, one is interested in capturing the tail variations rather than variation around the mean. In...

Predicting default probabilities is at the core of credit risk management and is becoming more and more important for banks in order to measure their client's degree of risk, and for firms to operate successfully. The SVM with evolutionary feature selection is applied to the CreditReform...

Principal component analysis (PCA) is a widely used dimension reduction tool in the analysis of many kind of high-dimensional data. It is used in signal processing, mechanical engineering, psychometrics, and other fields under different names. It still bears the same mathematical idea: the...

This paper analyzes empirical market utility functions and pricing kernels derived from the DAX and DAX option data for three market regimes. A consistent parametric framework of stochastic volatility is used. All empirical market utility functions show a region of risk proclivity that is...

Modeling the portfolio credit risk is one of the crucial issues of the last years in the financial problems. We propose the valuation model of Collateralized Debt Obligations based on a one- and two-parameter copula and default intensities estimated from market data. The presented method is used...

Market option prices in last 20 years conrmed deviations from the Black and Scholes (BS) models assumptions, especially on the BS implied volatility. Implied binomial trees (IBT) models capture the variations of the implied volatility known as \volatility smile". They provide a discrete...

Market option prices in last 20 years confirmed deviations from the Black and Scholes (BS) models assumptions, especially on the BS implied volatility. Implied binomialtrees (IBT) models capture the variations of the implied volatility known as \volatility smile". They provide a discrete...

This paper analyzes empirical market utility functions and pricing kernelsderived from the DAX and DAX option data for three market regimes. Aconsistent parametric framework of stochastic volatility is used. All empiricalmarket utility functions show a region of risk proclivity that is...

Modeling the portfolio credit risk is one of the crucial issues of the last yearsin the financial problems. We propose the valuation model of Collateralized DebtObligations based on a one- and two-parameter copula and default intensities estimatedfrom market data. The presented method is used to...

Modeling the portfolio credit risk is one of the crucial issues of the last years in the financial problems. We propose the valuation model of Collateralized Debt Obligations based on a one- and two-parameter copula and default intensities estimated from market data. The presented method is used...