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Survival Analysis in LGD Modeling
Correlation Credit risk Loss given default Recovery rate Regulatory capital
2016/1/27
The paper proposes an application of the survival time analysis methodology to estimations of the Loss Given Default (LGD) parameter. The main advantage of the survival analysis approach compared to c...
Point Processes Modeling of Time Series Exhibiting Power-Law Statistics
Point Processes Modeling Time Series Exhibiting Power-Law Statistics
2010/10/18
We consider stochastic point processes generating time series exhibiting power laws of spectrum and distribution density (Phys. Rev. E 71, 051105 (2005)) and apply them for modeling the trading activi...