63 search results - page 8 / 13 » Calibration of the default probability model |
WSC
2000
13 years 8 months ago
2000
Simulation models are often not used to their full potential in the decision-making process. The default simulation strategy of simple serial replication of fixed length runs mean...
EOR
2007
13 years 7 months ago
2007
We propose a structural credit risk model for consumer lending using option theory and the concept of the value of the consumer’s reputation. Using Brazilian empirical data and ...
TR
2010
13 years 2 months ago
2010
This paper investigates the use of a one-class support vector machine algorithm to detect the onset of system anomalies, and trend output classification probabilities, as a way to ...
IOR
2008
13 years 7 months ago
2008
We consider the risk of a portfolio comprised of loans, bonds, and financial instruments that are subject to possible default. In particular, we are interested in performance meas...
ICIAP
2001
Springer
14 years 7 months ago
2001
Springer
We present a multivariate statistical model to represent the human skin color. In our approach, there are no limitations regarding if the person is white or black, once the model ...