Prediction of default probability by using statistical models for rare events
نویسندگان
چکیده
منابع مشابه
analysis of ruin probability for insurance companies using markov chain
در این پایان نامه نشان داده ایم که چگونه می توان مدل ریسک بیمه ای اسپیرر اندرسون را به کمک زنجیره های مارکوف تعریف کرد. سپس به کمک روش های آنالیز ماتریسی احتمال برشکستگی ، میزان مازاد در هنگام برشکستگی و میزان کسری بودجه در زمان وقوع برشکستگی را محاسبه کرده ایم. هدف ما در این پایان نامه بسیار محاسباتی و کاربردی تر از روش های است که در گذشته برای محاسبه این احتمال ارائه شده است. در ابتدا ما نشا...
15 صفحه اولStatistical Monitoring of Rare Events in Healthcare
There are miscellaneous quality characteristics in healthcare which are interested to be monitored. However, monitoring each characteristic needs a special statistical method. There are some characteristics with very small incidence rates that it’s usually considered not to be necessary to monitoring them, since their incidence rates are so small that p and np charts are not able to monitor t...
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The main idea of this paper is to study the dependence between the probability of default and the recovery rate on credit portfolio and to seek empirically this relationship. We examine the dependence between PD and RR by theoretical approach. For the empirically methodology, we use the bootstrapped quantile regression and the simultaneous quantile regression. These methods allow to determinate...
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ژورنال
عنوان ژورنال: Journal of the Royal Statistical Society: Series A (Statistics in Society)
سال: 2019
ISSN: 0964-1998,1467-985X
DOI: 10.1111/rssa.12467