Risk

Quantification of model risk with an application to probability of default estimation and stress testing for a large corporate portfolio

This paper addresses the building of obligor-level hazard rate corporate probability of default models for stress testing, departing from the predominant practice in wholesale credit modeling of ...
Risk

On the mathematical modeling of point-in-time and through-the-cycle probability of default estimation/ validation

Since Basel II, the second of the Basel Accords, was first published in June 2004, banks around the world have been engaged in a continuous effort to develop methodologies to estimate the key ...
JSTOR Daily

The Probability of Causation under a Stochastic Model for Individual Risk

This is a preview. Log in through your library . Abstract In this paper we offer a mathematical definition for the probability of causation that formalizes the legal and ordinary-language meaning of ...
JSTOR Daily

Influencing the Probability for Graduation at Four-Year Institutions: A Multi-Model Analysis

The purpose of this study is to identify student and institutional characteristics that influence the probability for graduation. The study delves further into the probability for graduation by ...