Purpose: In machine learning applications, and in credit risk modeling in particular, model performance is usually measured by using cumulative accuracy profile (CAP) and receiving operating characteristic curves. The purpose of this paper is to use the statistics of the CAP curve to provide a...

In machine learning applications, and in credit risk modeling in particular, model performance is usually measured by using CAP and ROC curves. The purpose of this paper is to use the statistics of the CAP curve to provide a new method for credit PD curves calibration that are not based on...

Internal models of operational risk are all built based on the same guidelines provided by the regulators. However, we observe a broad range of practices among banks concerning modeling choices and calibration methods. It is thus relevant to discuss the relative importance of the main drivers...

Many asymptotic formulas exist for unrestricted integer partitions as well as for equal partitions of integers into a finite number of parts. We use an analogy with fermion gases and the tools of statistical physics to derive asymptotic formulas for distinct partitions with a large but finite...

Most of the banks' operational risk internal models are based on loss pooling in risk and business line categories. The parameters and outputs of operational risk models are sensitive to the pooling of the data and the choice of the risk classification. In a simple model, we establish the link...

Internal models of operational risk are all built based on the same guidelines provided by the regulators. However, we observe a broad range of practices among banks concerning modeling choices and calibration methods. It is thus relevant to discuss the relative importance of the main drivers...

We propose a portfolio approach for operational risk quantification based on a class of analytical models from which we derive new results on the correlation problem. In particular, we show that uniform correlation is a robust assumption for measuring capital charges in these models.