Most credit portfolio models calculate the loss distribution of a portfolio consisting solely of performing counterparts. We develop two models that account for defaulted counterparts in the calculation of the economic capital. First, we model the portfolio of non-performing counterparts...

Multivariate equivalence testing becomes necessary whenever the similarity rather than a difference between several treatment groups with multiple endpoints has to be shown. This problem occurs in various applications, including bioequivalence or the comparison of dissolution profiles....

This paper introduces a test for zero correlation in situations where the correlation matrix is large compared to the sample size. The test statistic is the sum of the squared correlation coefficients in the sample. We derive its limiting null distribution as the number of variables as well as...

The risk of a credit portfolio depends crucially on correlations between the prob- ability of default (PD) in different economic sectors. Often, PD correlations have to be estimated from relatively short time series of default rates, and the resulting estimation error hinders the detection of a...

In nonparametric curve estimation the decision about the type of smoothing parameter is critical for the practical performance. The nearest neighbor bandwidth as introduced by Gefeller and Dette 1992 for censored data in survival analysis is specified by one parameter, namely the number of...