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|Publication type:||Article in scientific journal|
|Type of review:||Peer review (publication)|
|Title:||An urn-based nonparametric modeling of the dependence between PD and LGD with an application to mortgages|
|Publisher / Ed. Institution:||MDPI|
|Subjects:||Dependence; Loss given default; Probability of default; Urn model|
|Subject (DDC):||332: Financial economics|
|Abstract:||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.|
|Fulltext version:||Published version|
|License (according to publishing contract):||CC BY 4.0: Attribution 4.0 International|
|Departement:||School of Management and Law|
|Appears in collections:||Publikationen School of Management and Law|
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|2019_Cheng-Cirillo_Urn-based-nonparametric-modeling_risks.pdf||1.63 MB||Adobe PDF|
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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, 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.
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