In this paper we estimate income distributions, Lorenz curves and the related Gini index using a Bayesian nonparametric approach based on Polya tree priors. In particular, we propose an alternative approach for dealing with contaminated observations and extreme income values: avoiding the common...

The combination of conflict, food insecurity, and displacement generates competing claims for financial resources that stretch the donors' ability to provide funding and the humanitarian organizations' capacity to provide social assistance. The paper uses Receiver Operating Characteristic curves...

Credit risk concentration is one of the leading topics in modern finance, as the bank regulation has made increasing use of external and internal credit ratings. Concentration risk in credit portfolios comes into being through an uneven distribution of bank loans to individual borrowers...

According to the last proposals by the Basel Committee, banks are allowed to use statistical approaches for the computation of their capital charge covering financial risks such as credit risk, market risk and operational risk. It is widely recognized that internal loss data alone do not suffice...

We propose a Bayesian nonparametric model to estimate rating migration matrices and default probabilities using the reinforced urn processes (RUP) introduced in Muliere et al. (2000). The estimated default probability becomes our prior information in a parametric model for the prediction of the...

We introduce a stochastic process based on nonhomogeneous Poisson processes and urn processes which can be reinforced to produce a mixture of semi-Markov processes. By working with the notion of exchangeable blocks within the process, we present a Bayesian nonparametric framework for handling...