A vast majority of Loss Given Default (LGD) models are currently in use. Over all the years since the new Capital Accord was published in June 2004, there has been increasing interest in the modelling of the LGD parameter on the part of both academics and practitioners. The main purpose of this...

This paper considers a new mixture of time homogeneous finite Markov chains where the mixing is on the rate of movement and develops the EM algorithm for the maximum likelihood estimation of the parameters of the mixture. A continuous and discrete time versions of the mixture are defined and...

We consider estimation of a quantile from a discrete distribution. This gives rise tothree new ideas, the confidence set for such a quantile, the notion that the associatedconfidence level can be increased after the data are collected, and that it is legitimateto strive to obtain a singleton...

We consider the process dYt = ut dt + dWt , where u is a processnot necessarily adapted to F Y (the filtration generated by the process Y)and W is a Brownian motion. We obtain a general representation for thelikelihood ratio of the law of the Y process relative to Brownian measure.This...