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Nuevas Herramientas para la Administración del Riesgo Crediticio: El caso de una Cartera Crediticia Ecuatoriana

Maldonado, Diego; Pazmiño, Mariela - 2008

In the present document it is exposed in an abstract way the models of credit portfolioes CreditMetricsTM, KMV, CreditRisk+, Credit Portfolio View in such a way that they could be calibrated and implemented in financial institutions where the quality and quantity of credit information is scanty,...

Persistent link: https://www.econbiz.de/10015218094

Alpha-root Processes for Derivatives pricing

Balakrishna, BS - 2010

A class of mean reverting positive stochastic processes driven by alpha-stable distributions, 1=alpha2, are discussed. They are referred to as alpha-root processes in analogy to the square root process or the Cox-Ingersoll-Ross process derived from the Brownian motion. They are affine models in...

Persistent link: https://www.econbiz.de/10015219967

Alpha-root Processes for Derivatives pricing

Balakrishna, BS - 2010

A class of mean reverting positive stochastic processes driven by alpha-stable distributions are discussed. A subclass of affine processes, they are referred to here as alpha-root processes in analogy to the square root process or the Cox-Ingersoll-Ross process derived from the Brownian motion....

Persistent link: https://www.econbiz.de/10015220013

Alpha-root Processes for Derivatives pricing

Balakrishna, BS - 2010

A class of mean reverting positive stochastic processes driven by alpha-stable distributions, referred to here as alpha-root processes in analogy to the square root process (Cox-Ingersoll-Ross process), is a subclass of affine processes, in particular continuous state branching processes with...

Persistent link: https://www.econbiz.de/10015220391

Temporal changes in the parameters of statistical distribution of journal impact factor

Mishra, SK - 2010

Statistical distribution of Journal Impact Factor (JIF) is characteristically asymmetric and non-mesokurtic. Even the distribution of log10(JIF) exhibits conspicuous skewness and non-mesokurticity. In this paper we estimate the parameters of Johnson SU distribution fitting to the log10(JIF) data...

Persistent link: https://www.econbiz.de/10015220780

Alpha-root Processes for Derivatives pricing

Balakrishna, B S - 2010

Persistent link: https://www.econbiz.de/10015220847

Loss Distributions

Burnecki, Krzysztof; Misiorek, Adam; Weron, Rafal - 2010

This paper is intended as a guide to statistical inference for loss distributions. There are three basic approaches to deriving the loss distribution in an insurance risk model: empirical, analytical, and moment based. The empirical method is based on a sufficiently smooth and accurate estimate...

Persistent link: https://www.econbiz.de/10015221267

Building Loss Models

Burnecki, Krzysztof; Janczura, Joanna; Weron, Rafal - 2010

This paper is intended as a guide to building insurance risk (loss) models. A typical model for insurance risk, the so-called collective risk model, treats the aggregate loss as having a compound distribution with two main components: one characterizing the arrival of claims and another...

Persistent link: https://www.econbiz.de/10015223447

Эндогенная классификация домохозяйств в регионах России

Nartikoev, Alan; Peresetsky, Anatoly - 2020

In order to study the structure of society, sociologists usually distinguish several homogeneous social groups, or classes. The most common division consists of three groups: upper, middle and lower classes. Such a partition is traditionally based on a subjective (exogenous) criteria adopted by...

Persistent link: https://www.econbiz.de/10015226042

The theory of dual co~event means

Vorobyev, Oleg Yu. - 2016

This work is the third, but not the last, in the cycle begun by the works [23, 22] about the new theory of experience … and chance as the theory of co~events. Here I introduce the concepts of two co~event means, which serve as dual co … that then, within the framework of the theory of experience and of chance, the idea can finally get the opportunity to …

Persistent link: https://www.econbiz.de/10015257754