Searched for: author%3A%22Cheng%2C+D.%22
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Cheng, D. (author)
This dissertation collects three scientific contributions, already published in international peer-reviewed journals, plus some extra considerations and work-in-progress. First, we present a model based on reinforced urn processes, which conjugates to the right-censored recovery process, and empirically apply it to the time series of recovery...
doctoral thesis 2022
Cheng, D. (author), Liu, Z. (author)
This paper presents our winning entry for the EVA 2019 data competition, the aim of which is to predict Red Sea surface temperature extremes over space and time. To achieve this, we used a stochastic partial differential equation (Poisson equation) based method, improved through a regularization to penalize large magnitudes of solutions. This...
journal article 2020
Cheng, D. (author), Cirillo, P. (author)
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’...
journal article 2019