top of page
Rechercher
25 avr. 2023
Particle MCMC in forecasting frailty correlated default models with expert opinion
This paper focuses on predicting #corporate #default #risk using frailty correlated default #models with subjective judgments. The study...
0 commentaire
13 avr. 2023
Systemic risk measured by systems resiliency to initial shocks
This study proposes a new approach to the analysis of #systemicrisk in #financialsystems, which is based on the #probability amount of...
0 commentaire
24 mars 2023
Uncertainty 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...
0 commentaire
6 juin 2022
Multi-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...
0 commentaire
24 févr. 2022
Evaluation of Backtesting on Risk Models Based on Data Envelopment Analysis
"The methodologies examined include filtered historical simulation, extreme value theory, Monte Carlo simulation and historical...
0 commentaire
bottom of page