As an example, the proposed model, benchmarked with the rating transition model based on the Merton model, is used to estimate the probability of default term structure for a commercial portfolio, ...

In our August 2014 analysis, we used the example of one day's data to prove this simple formula is a very poor description of the relationship between credit spreads and default probabilities.

We give a large-sample analysis of the minimal coverage probability of the usual confidence intervals for regression parameters when the underlying model is chosen by a "conservative" (or ...

A major advancement in risk management among large financial institutions has been the development of internal risk models. The models encompass institutions' procedures and techniques for assessing ...

The aim of validating default probabilities is to analyze whether these are not too low. For small sample sizes, however, there are not enough observations available to detect excessively low default ...

Information generated by the house-selling probability model could provide the seller with recommendations on what can be done -- reducing the asking price or remodeling, for example -- to ...

This paper presents methods for computing aggregate change in probabilities of a binary dependent variable from changes in distributions of independent variables in logit and linear probability models ...

The group elected to use a Markov model, which incorporates pseudo-randomly changing parameters in the modeling system, one example being the SARS-CoV-2 reproduction number.

Ruin Probabilities in Risk Models Publication Trend The graph below shows the total number of publications each year in Ruin Probabilities in Risk Models.