25 avr. 2023Particle MCMC in forecasting frailty correlated default models with expert opinionThis paper focuses on predicting #corporate #default #risk using frailty correlated default #models with subjective judgments. The study...
24 mars 2023Uncertainty in Systemic Risks Rankings: Bayesian and Frequentist Analysis"In this paper we propose efficient #bayesian Hamiltonian #montecarlo method for estimation of #systemicrisk#measures , LRMES, SRISK and...
7 sept. 2021A New Methodology for Modelling Operational Risk using Skew t Copula and Bayesian Inference#oprisk #operationalrisk #montecarlo #capitalrequirements #bayesian #riskmanagement #riskanalysis #markovchain