The goal of the Basle II regulatory formula is to model the unexpected loss on a loan portfolio. The regulatory formula … is based on an asymptotic portfolio unexpected default rate estimation that is multiplied by an estimate of the loss …-factor models where default and loss given default are driven by one systemic factor and by one or more idiosyncratic factors. In …

The paper proposes a new method to estimate correlation of account level Basle II Loss Given Default (LGD). The … correlation determines the probability distribution of portfolio level LGD in the context of a copula model which is used to … we apply the maximum likelihood method to estimate the best correlation parameter. The method is applied and analyzed on …

correlation. …

This paper uses a frequency domain approach to gain insight into the correlation between survey indicators and year … of the correlation between survey indicators and year-on-year GDP growth at the different frequencies to explain their … overall correlation. We show that survey indicators, similar to year-on-year GDP growth, do not perfectly reflect business …

predictive model. In this article, the definition of this measure is adapted to the specific needs of the frequency and severity … severity models. …

function to account for this correlation between our random variables that are uniform distributed under the null hypothesis … gemeinsam hat. Wir modifizieren die Tests auf Grundlage der inversen Verteilungsfunktion, um dieser Korrelation zwischen unseren …

the arrival of claims and another describing the severity (or size) of loss resulting from the occurrence of a claim. In …This paper is intended as a guide to building insurance risk (loss) models. A typical model for insurance risk, the so …-called collective risk model, treats the aggregate loss as having a compound distribution with two main components: one characterizing …