Understanding the determinants of aggregated corporate default probabilities (PDs) has attracted substantial research interest over the past decades. This study addresses two major difficulties in understanding the determinants of aggregate PDs: model uncertainty and multicollinearity among the...

In this study, we empirically analyze the determinants of heterogeneity in rating assessments across different segments of the European loan market. We conduct a benchmarking analysis using rating information on European corporate obligors from nine major Austrian banks that have a large share...

Despite the increasing popularity of journal rankings to evaluate the quality of research contributions, the individual rankings for journals that ranked below the top tier of publications usually feature only modest agreement. Attempts to merge rankings into meta-rankings suffer from some...

We derive exact and asymptotic formulas for the probability that a symmetric n×n matrix with unit diagonal and upper diagonal elements i.i.d. uniform on (−1,1) is positive definite (and thus a “random correlation matrix”): this is almost never the case for n≥6.

Diaconis and Ylvisaker (1979) give necessary conditions for conjugate priors for distributions from the natural exponential family to be proper as well as to have the property of linear posterior expectation of the mean parameter of the family. Their conditions for propriety and linear posterior...