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From fault tree to credit risk assessment : a case study

Gatfaoui, Hayette - 2004 - This draft: September 2004

Reliability has been largely applied to industrial systems in order to study the various possibilities of systems … minimal paths leading to any system’s fault allows for a better control of systems’ safety. To this end, reliability is … reliability, which matches default risk analysis in a simple framework. Our extension includes other distributions of probability …

Persistent link: https://www.econbiz.de/10011513074

Empirical models of imperfect competition : a discussion

Einav, Liran (contributor); Nevo, Aviv (contributor) - 2006

Persistent link: https://www.econbiz.de/10003742957

Dynamics of Inductive Inference in a Unified Framework

Gilboa, Itzhak - 2011

We present a model of inductive inference that includes, as special cases, Bayesian reasoning, case-based reasoning, and rule-based reasoning. This unified framework allows us to examine, positively or normatively, how the various modes of inductive inference can be combined and how their...

Persistent link: https://www.econbiz.de/10013122230

Subjectivity in inductive inference

Gilboa, Itzhak; Samuelson, Larry - In: Theoretical economics : TE ; an open access journal in … 7 (2012) 2, pp. 183-215

This paper examines circumstances under which subjectivity enhances the effectiveness of inductive reasoning. We consider agents facing a data generating process who are characterized by inference rules that may be purely objective (or data-based) or may incorporate subjective considerations....

Persistent link: https://www.econbiz.de/10011690761

Implications of quantal response statistical equilibrium

Scharfenaker, Ellis - 2019

This paper explores the foundations and properties of the quantal response statistical equilibrium (QRSE) model developed by Scharfenaker and Foley (2017). The QRSE model provides a behavioral foundation for the formation of aggregate economic outcomes in social systems characterized by negative...

Persistent link: https://www.econbiz.de/10012041759

Entrepreneurship : Getting Nonnormality Right

Kandel, Anatoly F.; Tsionas, Efthymios G. - 2002

Decision problems in environments with iid shocks are typically modeled as involving payoffs that follow a martingale process. The paper formalizes entrepreneurial skills as the ability to design optimal investment strategies for problems, in which payoffs do not follow a martingale. It develops...

Persistent link: https://www.econbiz.de/10014034432

Sector Concentration in Loan Portfolios and Economic Capital

Duellmann, Klaus - 2010

The purpose of this paper is to measure the potential impact of business-sector concentration on economic capital for loan portfolios and to explore a tractable model for its measurement. The empirical part evaluates the increase in economic capital in a multi-factor asset value model for...

Persistent link: https://www.econbiz.de/10013137441

Default Prediction with a Multiple-Spell Discrete-Time Hazard Model

Jovan, Matej - 2019

We argue that the true transition-to-default dynamic in banks' credit portfolios can only be fully described with a multiple-spell discrete-time hazard model. This paper develops such a model for default prediction. The model permits the use of all data available to the bank or to the bank...

Persistent link: https://www.econbiz.de/10012903507

CVA Capital Charge Under Basel III Standardized Approach

Fares, Ziad - 2015

In this paper, the standardized approach will be analyzed and studied. At first, an analysis will be provided to better understand why CCR became so important, what are its characteristics, etc…. Then a discussion around the CVA definition from the regulator's perspective will be presented....

Persistent link: https://www.econbiz.de/10013026255

Stable Reduced-Noise 'Macro' SSA - Based Correlations for Long-Term Counterparty Risk Management

Dash, Jan - 2016

We introduce a methodology from geophysics, Singular Spectrum Analysis (SSA), to obtain stable, noise-cleaned correlations for long term risk (e.g. counterparty risk). SSA is applied to time series to smooth them in a robust manner. The SSA-smoothed time series are then used to obtain the...

Persistent link: https://www.econbiz.de/10012987091

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