Banks could achieve substantial improvements of their portfolio credit risk assessment by estimating rating transition matrices within a time-continuous Markov model, thereby using continuous-time rating transitions provided by internal rating systems instead of discrete-time rating information....

Banks could achieve substantial improvements of their portfolio credit risk assessment by estimating rating transition matrices within a time-continuous Markov model, thereby using continuous-time rating transitions provided by internal rating systems instead of discrete-time rating information....

Multivariate equivalence testing becomes necessary whenever the similarity rather than a difference between several treatment groups with multiple endpoints has to be shown. This problem occurs in various applications, including bioequivalence or the comparison of dissolution profiles....

For a sample of Exponentially distributed durations we aim at point estimation and a confidence interval for its parameter. A duration is only observed if it has ended within a certain time interval, determined by a Uniform distribution. Hence, the data is a truncated empirical process that we...