The estimation of probabilities of default (PDs) for low default portfolios by means of upper confidence bounds is a well established procedure in many financial institutions. However, there are often discussions within the institutions or between institutions and supervisors about which...

Accurate and robust long-term cash flow forecasting is crucial for computing the intrinsic value of stocks. Bayesian Hierarchical model (BH) takes advantage of massive information sharing across firms and across time to model firm level mean-reversion speed and offers a better forecast for...

We define a dynamic and self-adjusting mixture of Gaussian Graphical Models to cluster financial returns, and provide a new method for extraction of nonparametric estimates of dynamic alphas (excess return) and betas (to a choice set of explanatory factors) in a multivariate setting. This...