Computational Challenges in Risk Calculations for XVA: Likelihood Ratio Method to compute XVA Greeks for OTC derivatives

After the financial crisis, the standards for the valuation of financial derivatives were reviewed and several adjustments were made to these valuations, of which Credit Value Adjustment (CVA) is the most important one. CVA represents the price of counterparty credit risk that should be added to the default-free fair price of a financial...

Evaluation of the similarity index: A statistical procedure for comparing Weibull distributions

In this thesis, we evaluate the statistical procedure based on the similarity index proposed by Ypma and Ross in 'Determing the similarity between expected and observed ageing behavior'. The function for the similarity index is defined based on the inner product of two probability density functions, assumed to be related to the Weibull...

Hindcasting of levee failures: Deterministic and probabilistic methods

In the last century, approximately 100,000 people lost their lives during a flood event and over 1.4 billion people were affected. As the population and economic activities grow in flood-prone areas and the frequencies and intensities of flood events increase due to climate change, damage due to flooding is expected to increase. To limit and...

Mathematics as a secret weapon against criminals: Employing score-based likelihood ratio systems for the comparison of handwriting and studying their quality of performance

In this report a new approach to (forensic) handwriting analysis is presented; score-based likelihood ratio (SLR) systems are employed and their quality of performance is studied. These systems compare elements of handwriting based on their characteristics and give an insight into the degree of uncertainty of the statement that two writings have...

The influence of deviating conditions on levee failure rates

This study introduces a method for assessing the annual failure rate of levees based on information from historical floods, while also considering the return period of these past events. Also, an approach has been developed to quantify the influence of deviating conditions on failure rates. The presence of deviating conditions at failed and...

Isotonic regression for metallic microstructure data: Estimation and testing under order restrictions

Investigating the main determinants of the mechanical performance of metals is not a simple task. Already known physically inspired qualitative relations between 2D microstructure characteristics and 3D mechanical properties can act as the starting point of the investigation. Isotonic regression allows to take into account ordering relations...

Forensic speaker recognition: Based on text analysis of transcribed speech fragments

Currently, speaker recognition research is mainly based on phonetics and speech signal processing. This research addresses speaker recognition from a new perspective, analysing the transcription of a fragment of speech with text analysis methods. Since text analysis is based on the transcription text only, it can be assumed independent from...

Frequentistische en Bayesiaanse statistiek in de forensische statistiek

In de statistiek zijn er verschillende methodes voor het uitvoeren van model selectie. Het verschil in deze methodes komt voort uit het verschil in stromingen. Voor niet-geneste model selectie zijn de meest ganbare stromingen de Bayes Factor en de likelihood ratio. D. M. Ommen en C. P. Saunders presenteerden theoretische resultaten voor de...

Confidence curves for change points in hydrometeorological time series

In this paper, a method based on Approximate Empirical likelihood ratio and a Deviance function combined with bootstrapping (AED-BP) is proposed to construct a confidence curve for the location of a change point. The method is compared with a method based on parametric Profile Likelihood and a Deviance function combined with Monte Carlo...

Forensic Statistics: Multivariate trace comparison

In today’s complex, modern world, where more data and knowledge is available then ever before, consensus over approaches in statistics is far away. To understand what this means for forensic statistics, both the frequentist and Bayesian approach are considered in quantifying evidence. Classical frequentist approaches are elaborated according to...

Overall mean estimation of trace evidence in a two-level normal–normal model

In the evaluation of measurements on characteristics of forensic trace evidence, Aitken and Lucy (2004) model the data as a two-level model using assumptions of normality where likelihood ratios are used as a measure for the strength of evidence. A two-level model assumes two sources of variation: the variation within measurements in a group ...

Information distances for radar resolution analysis

A stochastic approach to resolution based on information distances computed from the geometry of data models which is characterized by the Fisher information is explored. Stochastic resolution includes probability of resolution and signal-to-noise ratio (SNR). The probability of resolution is assessed from a hypothesis test by exploiting...

The evidential value of gunshot residue composition comparisons

During the discharge of a firearm gunshot residues (GSRs) escape from the barrel and other openings and may deposit on surfaces in the vicinity of the discharging firearm. The detection and identification of these GSR particles may provide valuable information in forensic investigations. A comparison, based on the elemental composition, between...

Monte Carlo Greeks in the lognormal Libor market model

Greeks are sensitivities of option prices with respect to certain parameters. The calculation of Greeks is needed for hedge strategies and to manage or measure risk. As the underlying models get more complicated, the calculation of these Greeks can become far more difficult than the pricing of options. In this thesis we consider the Greeks of...

Likelihood-Based Hypothesis Tests for Brain Activation Detection From MRI Data Disturbed by Colored Noise: A Simulation Study

Functional magnetic resonance imaging (fMRI) data that are corrupted by temporally colored noise are generally preprocessed (i.e., prewhitened or precolored) prior to functional activation detection. In this paper, we propose likelihood-based hypothesis tests that account for colored noise directly within the framework of functional activation...

Computation of a test statistic in data quality control

When processing observational data, statistical testing is an essential instrument for rendering harmless incidental anomalies and disturbances in the measurements. A commonly used test statistic based on the general linear model is the generalized likelihood ratio test statistic. The standard formula given in the literature for this test...

Generalized likelihood ratio tests for complex fMRI data

Functional magnetic resonance imaging (fMRI) intends to detect significant neural activity by means of statistical data processing. Commonly used statistical tests include the Student-t test, analysis of variance, and the generalized linear model test. A key assumption underlying these methods is that the data are Gaussian distributed. Moreover,...