In this paper we develop structural first passage models (AT1P and SBTV) with time-varying volatility and characterized by high tractability. The models can be calibrated exactly to credit spreads using efficient closed-form formulas for default

In observational studies with exposures or treatments that vary over time, standard approaches for adjustment of confounding are biased when there exist time-dependent confounders that are also affected by previous treatment. This paper introduces marginal structural models, a new class of causal models that allow for improved adjustment of confounding in those situations. The parameters of a m...

This article presents marginal structural models with inverse propensity weighting (IPW) for assessing mediation. Generally, individuals are not randomly assigned to levels of the mediator. Therefore, confounders of the mediator and outcome may exist that limit causal inferences, a goal of mediation analysis. Either regression adjustment or IPW can be used to take confounding into account, but ...

In this paper, we investigate whether the theoretical default probability measures calculated from Merton’s (1974) structural credit risk model can provide a better way to explain and predict credit rating than traditional statistical models. The empirical results suggest that Merton’s theoretical default measure is not a sufficient statistic of equity market information concerning credit quali...

This study investigated the interrelationships among cultural identity, explanatory style, and depression in Navajo adolescents. A total of 332 (197 female, 135 male) Navajo adolescents completed 7 self-report measures. These data were used to create, via structural equation modeling, a series of factor models and full structural models. Analyses indicated that current factor structures for exp...

Background. One critical issue in protein three-dimensional structure prediction using either ab initio or comparative modeling involves identification of high-quality protein structural models from generated decoys. Currently, clustering algorithms are widely used to identify near-native models; however, their performance is dependent upon different conformational decoys, and, for some algorit...

It is crucial to uncover the mystery of water cluster and structural motif to have an insight into the abundant anomalies bound to water. In this context, the analysis of influence factors is an alternative way to shed light on the nature of water clusters. Water structure has been tentatively explained within different frameworks of structural models. Based on comprehensive analysis and summar...

A wide class of structural models on multivariate normal covariance matrices can be expressed using symmetries. For example, a multivariate normal vector has the intraclass correlation structure (where all variances are equal, and all covariances are equal) if the covariance matrix is invariant under permutation of the components, and the components are independent if the covariance matrix in i...

Structural and thermal engineers currently work independently of each other using unrelated tools, models, and methods. Without the ability to rapidly exchange design data and predicted performance, the achievement of the ideals of concurrent engineering is not possible. Thermal codes have been unable to exploit the geometric information in structural models and the CAD design database, and do ...