Bitte benutzen Sie diese Kennung, um auf die Ressource zu verweisen:
https://doi.org/10.21256/zhaw-25287| Publikationstyp: | Beitrag in wissenschaftlicher Zeitschrift |
| Art der Begutachtung: | Peer review (Publikation) |
| Titel: | An urn-based nonparametric modeling of the dependence between PD and LGD with an application to mortgages |
| Autor/-in: | Cheng, Dan Cirillo, Pasquale |
| et. al: | No |
| DOI: | 10.3390/risks7030076 10.21256/zhaw-25287 |
| Erschienen in: | Risks |
| Band(Heft): | 7 |
| Heft: | 3 |
| Seite(n): | 76 |
| Erscheinungsdatum: | 2019 |
| Verlag / Hrsg. Institution: | MDPI |
| ISSN: | 2227-9091 |
| Sprache: | Englisch |
| Schlagwörter: | Dependence; Loss given default; Probability of default; Urn model |
| Fachgebiet (DDC): | 332: Finanzwirtschaft |
| Zusammenfassung: | We propose an alternative approach to the modeling of the positive dependence between the probability of default and the loss given default in a portfolio of exposures, using a bivariate urn process. The model combines the power of Bayesian nonparametrics and statistical learning, allowing for the elicitation and the exploitation of experts’ judgements, and for the constant update of this information over time, every time new data are available. A real-world application on mortgages is described using the Single Family Loan-Level Dataset by Freddie Mac. |
| URI: | https://digitalcollection.zhaw.ch/handle/11475/25287 |
| Volltext Version: | Publizierte Version |
| Lizenz (gemäss Verlagsvertrag): | CC BY 4.0: Namensnennung 4.0 International |
| Departement: | School of Management and Law |
| Enthalten in den Sammlungen: | Publikationen School of Management and Law |
Dateien zu dieser Ressource:
| Datei | Beschreibung | Größe | Format | |
|---|---|---|---|---|
| 2019_Cheng-Cirillo_Urn-based-nonparametric-modeling_risks.pdf | 1.63 MB | Adobe PDF |  Öffnen/Anzeigen |
Zur Langanzeige
Cheng, D., & Cirillo, P. (2019). An urn-based nonparametric modeling of the dependence between PD and LGD with an application to mortgages. Risks, 7(3), 76. https://doi.org/10.3390/risks7030076
Cheng, D. and Cirillo, P. (2019) ‘An urn-based nonparametric modeling of the dependence between PD and LGD with an application to mortgages’, Risks, 7(3), p. 76. Available at: https://doi.org/10.3390/risks7030076.
D. Cheng and P. Cirillo, “An urn-based nonparametric modeling of the dependence between PD and LGD with an application to mortgages,” Risks, vol. 7, no. 3, p. 76, 2019, doi: 10.3390/risks7030076.
CHENG, Dan und Pasquale CIRILLO, 2019. An urn-based nonparametric modeling of the dependence between PD and LGD with an application to mortgages. Risks. 2019. Bd. 7, Nr. 3, S. 76. DOI 10.3390/risks7030076
Cheng, Dan, and Pasquale Cirillo. 2019. “An Urn-Based Nonparametric Modeling of the Dependence between PD and LGD with an Application to Mortgages.” Risks 7 (3): 76. https://doi.org/10.3390/risks7030076.
Cheng, Dan, and Pasquale Cirillo. “An Urn-Based Nonparametric Modeling of the Dependence between PD and LGD with an Application to Mortgages.” Risks, vol. 7, no. 3, 2019, p. 76, https://doi.org/10.3390/risks7030076.
Alle Ressourcen in diesem Repository sind urheberrechtlich geschützt, soweit nicht anderweitig angezeigt.