We propose an alternative approach to the modeling of the positive dependence between the probability of default and the loss given default in a portfolio of exposures, using a bivariate urn process. The model combines the power of Bayesian nonparametrics and statistical learning, allowing for...

Household financial fragility has received considerable attention following the global financial crisis, but substantial gaps remain in the analytical underpinnings of household financial vulnerability assessment, as well as in data availability. This paper aims at integrating the contributions...