This paper generalizes Moody's correlated binomial default distribution for homogeneous (exchangeable) credit portfolio, which is introduced by Witt, to the case of inhomogeneous portfolios. As inhomogeneous portfolios, we consider two cases. In the first case, we treat a portfolio whose assets have uniform default correlation and non-uniform default probabilities. We obtain the default probabi...

One of the main problems in credit risk management is the correlated default. In large portfolios, computing the default dependencies among issuers is an essential part in quantifying the portfolio's credit. The most important problems related to credit risk management are understanding the complex dependence structure of the associated variables and lacking the data. This paper aims at introdu...

We examine a randomized trial that allows separate identification of peer screening and enforcement of credit contracts. A South African microlender offered half its clients a bonus for referring a friend who repaid a loan. For the remaining clients, the bonus was conditional on loan approval. After approval, the repayment incentive was removed from half the referrers in the first group and add...

Independent component analysis (ICA) utilizing prior information, also called semiblind ICA, has demonstrated considerable promise in the analysis of functional magnetic resonance imaging (fMRI). So far, temporal information about fMRI has been used in temporal ICA or spatial ICA as additional constraints to improve estimation of task-related components. Considering that prior information about...

We develop a class of lters based upon the numerical solution of high-order elliptic problems in l R d that allow for independent determination of order and cut-oo wave number and that default to classical Fourier-based lters in homogeneous domains. However, because they are based on the solution of a PDE, the present lters are not restricted to applications in tensor-product-based geometries a...