Causal Models and Default
نویسندگان
چکیده
منابع مشابه
Cause without Default
Must causal models distinguish default from deviant events? Much recent work on actual causation is conducted within the structural equations framework (Spirtes et al 1993, Pearl 2000), via the notion of a causal model. In standard causal models one sets up a system of variables, allots values to these variables, and connects these variables via structural equations. Menzies (2004, 2007), Hitch...
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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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The minimal model semantics is a natural interpretation of defaults yet it often yields a behavior that is too weak. This weakness has been traced to the inabiity of minimal models to reflect certain implicit preferences among defaults, in particular, preferences for defaults grounded on more ‘specific’ information and preferences arising in causal domains. Recently, ‘specificity’ preferences h...
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تاریخ انتشار 2016