Estimation of probability of default (PD), loss given default and exposure at default for portfolio segments containing reasonably homogeneous assets is essential for prudent risk management as well ...

The dependency of the individual default behavior of a firm on the state of the credit cycle is widely implemented in credit portfolio models and ultimately reflected in the Basel II one-factor model ...

Nonparametric methods provide a flexible framework for estimating the probability density function of random variables without imposing a strict parametric model. By relying directly on observed data, ...

This is a preview. Log in through your library . Abstract Weighted distributions can be used to fit various forms of resource selection probability functions (RSPF) under the useversus-available study ...

This is a preview. Log in through your library . The purpose of the Institute of Mathematical Statistics (IMS) is to foster the development and dissemination of the theory and applications of ...