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Table Of Contents

An Introduction to Credit Risk Modeling
1.1.1 Credit Spread Puzzle
1.1.2 Actual Defaults
1.2 Credit Risk Models
1.2.1 Structural Approach
1.2.2 Intensity-based Approach
1.3 Survival Models
1.3.1 Parametrizing Default Intensity
1.3.2 Incorporating Covariates
1.3.3 Correlating Credit Defaults
1.4 Scope of the Thesis
Adaptive Smoothing Spline
2.1 Introduction
2.2 AdaSS: Adaptive Smoothing Spline
2.2.1 Reproducing Kernels
2.2.2 Local Penalty Adaptation
2.4 Experimental Results
AdaSS (red) and the heterogeneous truth (light background)
Figure 2.5: Non-stationary OrdSS and AdaSS for Motorcycle-Accident Data
2.5 Summary
2.6 Technical Proofs
Vintage Data Analysis
3.1 Introduction
3.2 MEV Decomposition Framework
3.3 Gaussian Process Models
3.3.1 Covariance Kernels
3.3.2 Kriging, Spline and Kernel Methods
3.3.3 MEV Backfitting Algorithm
3.4 Semiparametric Regression
3.4.1 Single Segment
3.4.2 Multiple Segments
3.5 Applications in Credit Risk Modeling
3.5.1 Simulation Study
3.5.2 Corporate Default Rates
GCV selection of smoothing and structural parameters
3.5.3 Retail Loan Loss Rates
3.6 Discussion
3.7 Technical Proofs
Dual-time Survival Analysis
4.1 Introduction
(right) empirical hazard rates in either lifetime or calendar time
4.2 Nonparametric Methods
4.2.1 Empirical Hazards
4.2.2 DtBreslow Estimator
4.2.3 MEV Decomposition
4.3 Structural Models
4.3.1 First-passage-time Parameterization
4.3.2 Incorporation of Covariate Effects
4.4 Dual-time Cox Regression
4.4.1 Dual-time Cox Models
4.4.2 Partial Likelihood Estimation
4.4.3 Frailty-type Vintage Effects
4.5 Applications in Retail Credit Risk Modeling
4.5.1 Credit Card Portfolios
4.5.2 Mortgage Competing Risks
4.6 Summary
4.7 Supplementary Materials
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Published by rod_1980

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Published by: rod_1980 on Oct 18, 2012
Copyright:Attribution Non-commercial


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