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The maximum entropy distribution for stochastically ordered random variables with fixed marginals

Kiefer, Nicholas M. - 2009

Stochastically ordered random variables with given marginal distributions are combined into a joint distribution preserving the ordering and the marginals using a maximum entropy formulation. A closed-form expression is obtained. An application is in default estimation for different portfolio...

Persistent link: https://www.econbiz.de/10010292056

Business and Default Cycles for Credit Risk

Koopman, Siem Jan; Lucas, André - 2003

they do, or at least that defaults and credit spreads tend to co-move with macro-economic variables. If true, this is …

Persistent link: https://www.econbiz.de/10010324897

Quantile Forecasting for Credit Risk Management using possibly Mis-specified Hidden Markov Models

Banachewicz, Konrad; Lucas, André - 2007

Recent models for credit risk management make use of Hidden Markov Models (HMMs). The HMMs are used to forecast quantiles of corporate default rates. Little research has been done on the quality of such forecasts if the underlying HMM is potentially mis-specified. In this paper, we focus on...

Persistent link: https://www.econbiz.de/10010325238

Modeling Portfolio Defaults using Hidden Markov Models with Covariates

Banachewicz, Konrad; van der Vaart, Aad; Lucas, André - 2006

We extend the Hidden Markov Model for defaults of Crowder, Davis, and Giampieri (2005) to include covariates. The …

Persistent link: https://www.econbiz.de/10010325444

"Many a slip between the cup and the lip": The effect of default-based nudges on prosocial behavior and attitudes

Gaudeul, Alexia; Kaczmarek, Magdalena Claudia - 2016

long-term success. Indeed, we rather find that those who adopted an action that went against the nudge were more motivated … to follow on through with this action later on than those who went with the nudge. We furthermore show that giving people …

Persistent link: https://www.econbiz.de/10011573067

The Double Dividend of Attention-Releasing Policies

Altmann, Steffen; Grunewald, Andreas; Radbruch, Jonas - 2024

the implementation of high-quality defaults. Based on a laboratory experiment featuring a dual-task paradigm, we …

Persistent link: https://www.econbiz.de/10014534456

Nudging in the workplace: Increasing participation in employee EDI wellness events

Pelly, Diane; Doyle, Orla - 2022

EDI (Equality Diversity Inclusion) wellness events. We find evidence that defaults matter. Pre-registering employees more … registration rates, they have no impact on attendance. We find little evidence of treatment heterogeneity, suggesting that defaults …

Persistent link: https://www.econbiz.de/10014540375