Searched for: subject%3A%22Probability%255C+of%255C+Default%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
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Carmiggelt, Koen (author)
Banks are financial institutions that lend money from other parties and provide loans to individuals and organisation for a higher interest. Lending out money is associated with the risk that debtors are not able to fully or partially repay the loans. This is called credit risk. Banks have to make an estimate of the credit risk in their...
master thesis 2019
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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