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....

We derive approximate formulae for the credit value-at-risk and the economic capital of a large credit portfolio. The representation allows to change the risk horizon quickly and avoids simulation or numerical procedures. The Poisson mixture model is equivalent to CreditRisk and uses the same...

Most credit portfolio models exclusively calculate the loss distribution for a portfolio of performing counterparts. Conservative default definitions cause considerable insecurity about the loss for a long time after the default. We present three approaches to account for defaulted counterparts...