Discrete choice models of the probability of default (PD) have several applications in finance. In some applications, such as credit scoring, their value is in ranking applicants or customers by PD.

This is a graduate-level course focused on techniques and models in modern discrete probability. Topics include: the first and second moment methods, Chernoff bounds and large deviations, martingales, ...

Although the literature about measuring probability of default (PD) in retail credit portfolios is vast, the same thing cannot be said about measuring exposure at default (EAD). This paper aims to ...

This is a graduate-level course focused on techniques and models in modern discrete probability. Topics include: the first and second moment methods, martingales, concentration inequalities, branching ...

Description: Basic set theory, elementary probability theory, discrete probability models, finite Markov chains. Applications to problems in the management and social sciences.

The world is full of uncertainty: accidents, storms, unruly financial markets, noisy communications. The world is also full of data. Probabilistic modeling and the related field of statistical ...

The well-developed theory of exponential families of distributions is applied to the problem of fitting the univariate histograms and discrete bivariate frequency distributions that often arise in the ...