Welcome to Scribd. Sign in or start your free trial to enjoy unlimited e-books, audiobooks & documents.Find out more
Download
Standard view
Full view
of .
Look up keyword or section
Like this
6Activity

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
BIBLIOGRAPHY
0 of .
Results for:
No results containing your search query
P. 1
Statistical Methods in Credit Risk Modeling

Statistical Methods in Credit Risk Modeling

Ratings: (0)|Views: 159|Likes:
Published by Tin Lun Elvin Ho

More info:

Published by: Tin Lun Elvin Ho on Feb 21, 2012
Copyright:Attribution Non-commercial

Availability:

Read on Scribd mobile: iPhone, iPad and Android.
download as PDF, TXT or read online from Scribd
See more
See less

01/26/2014

pdf

text

original

You're Reading a Free Preview
Pages 4 to 13 are not shown in this preview.
You're Reading a Free Preview
Pages 17 to 46 are not shown in this preview.
You're Reading a Free Preview
Pages 51 to 66 are not shown in this preview.
You're Reading a Free Preview
Pages 70 to 156 are not shown in this preview.

Activity (6)

You've already reviewed this. Edit your review.
1 thousand reads
1 hundred reads
areno45 liked this
omkar_puri5277 liked this
asong_soekamti liked this
nekougolo3064 liked this

You're Reading a Free Preview

Download
scribd
/*********** DO NOT ALTER ANYTHING BELOW THIS LINE ! ************/ var s_code=s.t();if(s_code)document.write(s_code)//-->