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...
13 avr. 2023Systemic risk measured by systems resiliency to initial shocksThis study proposes a new approach to the analysis of #systemicrisk in #financialsystems, which is based on the #probability amount of...
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...
6 juin 2022Multi-Population Mortality Modelling: A Bayesian Approach"An efficient Bayesian Markov Chain Monte-Carlo method is developed to estimate the unknown parameters to address the computational...