63 search results - page 3 / 13 » Calibration of the default probability model |
EOR
2007
13 years 7 months ago
2007
The paper presents the first empirical investigation of the relationship between present value of net revenue from a revolving credit account and times to default and to second pu...
IGARSS
2010
13 years 2 months ago
2010
This paper investigates the performance of machine learning methods for classifying rock types from hyperspectral data. The main objective is to test the impact on classification ...
EOR
2010
13 years 7 months ago
2010
We consider the problem of accurately measuring the credit risk of a portfolio consisting of loans, bonds and other financial assets. One particular performance measure of interes...
CORR
2007
Springer
13 years 7 months ago
2007
Springer
We propose a model which can be jointly calibrated to the corporate bond term structure and equity option volatility surface of the same company. Our purpose is to obtain explicit...
NMR
2004
Springer
14 years 21 days ago
2004
Springer
A logic is defined which in addition to propositional calculus contains several types of probabilistic operators which are applied only to propositional formulas. For every s ∈...