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John A Morrison's Blog – October 2009 Archive (3)

Analytical Credit VaR with Stochastic Probabilities of Default and Recoveries

by Antonio Castagna of Iason ltd.,

Fabio Mercurio of Bloomberg & Iason ltd., and

Paola Mosconi of Iason ltd.



June 1, 2009



Abstract: We extend the model presented in Bonollo et al. [3] by introducing a multi-scenario framework that allows for a richer and more realistic specification, including non-static (stochastic) probabilities of default and losses given default. Though more complex from a computational point of view, the model with scenarios is still… Continue

Added by John A Morrison on October 27, 2009 at 1:54am — No Comments

(the) Illiquidity Component of Credit Risk

by Stephen Morris of Princeton University, and

Hyun Song Shin of Princeton University



September 2009



Abstract: We describe and contrast three different measures of an institution's credit risk. "Insolvency risk" is the conditional probability of default due to deterioration of asset quality if there is no run by short term creditors. "Total credit risk" is the unconditional probability of default, either because of a (short term) creditor run or (long run) asset… Continue

Added by John A Morrison on October 27, 2009 at 1:43am — 1 Comment

The Revolution of Evolution for Real-World Applications

The Revolution of Evolution for Real-World Applications



Peter Bentley

Intelligent Systems Group, Department of Computer Science University College London,

Gower St., London WC1E 6BT, UK.



Abstract.



This paper describes an evolutionary search method known as the

genetic algorithm (GA) and examines its application to real-world problems. A

description of the algorithm itself and its history is provided. A general review of

GA theory and… Continue

Added by John A Morrison on October 24, 2009 at 1:54am — No Comments

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