Most credit portfolio models exclusively calculate the loss distribution for a portfolio of performing counterparts. Conservative default definitions cause considerable insecurity about the loss for a long time after the default. We present three approaches to account for defaulted counterparts...

We consider the design problem for the estimation of several scalar measures suggested in the epidemiological literature for comparing the success rate in two samples. The designs considered so far in the literature are local in the sense that they depend on the unknown probabilities of success...

We study the drift of stationary diffusion processes in a time series analysis of the autoregression function. A marked empirical process measures the difference between the nonparametric regression functions of two time series. We bootstrap the distribution of a Kolmogorov-Smirnov-type test...

The Monod model is a classical microbiological model much used in microbiology, for example to evaluate biodegradation processes. The model describes microbial growth kinetics in batch culture experiments using three parameters: the maximal specific growth rate, the saturation constant and the...

We investigate optimal designs for discriminating between exponential regression models of different complexity, which are widely used in the biological sciences; see, e.g., Landaw (1995) or Gibaldi and Perrier (1982). We discuss different approaches for the construction of appropriate...

In banking the default behavior of the counterpart is of interest not only for the pricing of transactions under credit risk but also for the assessment of portfolio credit risk. We develop a test against the hypothesis that default intensities are constant over time within a homogeneous group...