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Journal articles on the topic 'Joint default probability'

Author: Grafiati

Published: 11 March 2023

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1

Valužis, M. "On the Probabilities of Correlated Defaults: a First Passage Time Approach." Nonlinear Analysis: Modelling and Control 13, no. 1 (2008): 117–33. http://dx.doi.org/10.15388/na.2008.13.1.14593.

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This article investigates the joint probability of correlated defaults in the first passage time approach of credit risk subject to condition that the underlying firms’ assets values and the default boundaries follow geometric Brownian motion processes. The exact analytical expression of joint probability of two correlated defaults in the case of stochastic default boundaries is presented. Also, some properties of this solution are provided.

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2

Durante, Fabrizio, Juan Fernández-Sánchez, and Wolfgang Trutschnig. "On the singular components of a copula." Journal of Applied Probability 52, no. 4 (2015): 1175–82. http://dx.doi.org/10.1239/jap/1450802760.

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We analyze copulas with a nontrivial singular component by using their Markov kernel representation. In particular, we provide existence results for copulas with a prescribed singular component. The constructions not only help to deal with problems related to multivariate stochastic systems of lifetimes when joint defaults can occur with a nonzero probability, but even provide a copula maximizing the probability of joint default.

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3

Durante, Fabrizio, Juan Fernández-Sánchez, and Wolfgang Trutschnig. "On the singular components of a copula." Journal of Applied Probability 52, no. 04 (2015): 1175–82. http://dx.doi.org/10.1017/s0021900200113154.

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We analyze copulas with a nontrivial singular component by using their Markov kernel representation. In particular, we provide existence results for copulas with a prescribed singular component. The constructions not only help to deal with problems related to multivariate stochastic systems of lifetimes when joint defaults can occur with a nonzero probability, but even provide a copula maximizing the probability of joint default.

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4

Husodo, Zaafri Ananto, Sigit Sulistyo Wibowo, Muhammad Budi Prasetyo, Usman Arief, and Maulana Harris Muhajir. "ESTIMATING A JOINT PROBABILITY OF DEFAULT INDEX FOR INDONESIAN BANKS: A COPULA APPROACH." Buletin Ekonomi Moneter dan Perbankan 23, no. 3 (2020): 389–412. http://dx.doi.org/10.21098/bemp.v23i3.1358.

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We develop a joint default probability index to signal potential systemic risks in the highly concentrated Indonesian banking industry. To build the index, we estimate bank-level tail risks using monthly bank financial reports. We use the copula approach to derive the joint multivariate dependencies at the bank level, as reflected in the monthly financial reports. Our results, which are based on a sample of 104 banks fromDecember 2003 to April 2020, show joint multivariate dependencies at the bank level suggesting that the standard univariate normal distribution is unsuitable for capturing tai

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5

Chen, Yu, and Yu Xing. "Basket Credit Default Swap Pricing with Two Defaultable Counterparties." Discrete Dynamics in Nature and Society 2022 (March 22, 2022): 1–17. http://dx.doi.org/10.1155/2022/3844001.

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In this paper, we study the basket CDS pricing with two defaultable counterparties based on the reduced-form model. The default jump intensities of the reference firms and counterparties are all assumed to follow the mean-reverting constant elasticity of variance (CEV) processes. Taking the Vasicek process which is a special case of CEV process as an example, the approximate analytic solutions of the joint survival probability density, the probability densities of the first default and the first two defaults can be solved by using PDE method. In addition, we also extend the Vasciek process to

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6

LI, WEIPING, and TIM KREHBIEL. "AN IMPROVED APPROACH TO EVALUATE DEFAULT PROBABILITIES AND DEFAULT CORRELATIONS WITH CONSISTENCY." International Journal of Theoretical and Applied Finance 19, no. 05 (2016): 1650036. http://dx.doi.org/10.1142/s0219024916500369.

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We provide (i) a simplified analytic closed form formula for evaluating joint default probability, (ii) an improved method to resolve the inconsistency between the univariate process underlying firm-specific default probability and the correlated bivariate process of the first-passage-time default correlation model, (iii) illustration of risk management implications from misspecification of the default state space. Our closed form formula provides a natural extension of previous structural first-passage-time models and shows the sensitivities of default correlation numerically with respect to

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7

Pang, Sulin, Jinwang Xiao, and Shuqing Li. "Pricing method and applications for the farmer's joint liability based on intensity model and Monte Carlo simulation." Journal of Financial Engineering 02, no. 01 (2015): 1550008. http://dx.doi.org/10.1142/s2345768615500087.

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This paper studies the pricing problem of group lending using the strength model and the Monte Carlo simulation method. Simulating the default process of farmers with a Poisson process, this paper describes the default distribution for farmers, and based on which the paper establishes the pricing model of the group lending and obtains the critical number of the defaulted farmers and the default probability for the group. Next, this paper introduces the t-Copula function to describe the default correlation between farmers, and obtains the partially analytical solution of the loan rate for the g

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8

Pianeti, Riccardo, Rosella Giacometti, and Valentina Acerbis. "Estimating the Joint Probability of Default Using CreditDefault Swap and Bond Data." Journal of Fixed Income 21, no. 3 (2011): 44–58. http://dx.doi.org/10.3905/jfi.2012.21.3.044.

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9

CIRILLO, PASQUALE, JÜRG HÜSLER, and PIETRO MULIERE. "A NONPARAMETRIC URN-BASED APPROACH TO INTERACTING FAILING SYSTEMS WITH AN APPLICATION TO CREDIT RISK MODELING." International Journal of Theoretical and Applied Finance 13, no. 08 (2010): 1223–40. http://dx.doi.org/10.1142/s0219024910006170.

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In this paper we propose a new nonparametric approach to interacting failing systems (FS), that is systems whose probability of failure is not negligible in a fixed time horizon, a typical example being firms and financial bonds. The main purpose when studying a FS is to calculate the probability of default and the distribution of the number of failures that may occur during the observation period. A model used to study a failing system is defined default model. In particular, we present a general recursive model constructed by the means of interacting urns. After introducing the theoretical m

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10

Orlando, Giuseppe, and Roberta Pelosi. "Non-Performing Loans for Italian Companies: When Time Matters. An Empirical Research on Estimating Probability to Default and Loss Given Default." International Journal of Financial Studies 8, no. 4 (2020): 68. http://dx.doi.org/10.3390/ijfs8040068.

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Within bank activities, which is normally defined as the joint exercise of savings collection and credit supply, risk-taking is natural, as in many human activities. Among risks related to credit intermediation, credit risk assumes particular importance. It is most simply defined as the potential that a bank borrower or counterparty fails to fulfil correctly at maturity the pecuniary obligations assumed as principal and interest. Whenever this happens, a loan is non-performing. Among the main risk components, the Probability of Default (PD) and the Loss Given Default (LGD) have been the subjec

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11

문호성 and soowonmo. "The Assessment for Systemic Risk of Shipping Industry using Joint Probability of Default and Distress Dependence Matrix and Policy Implications." Journal of Shipping and Logistics 27, no. 1 (2011): 21–31. http://dx.doi.org/10.37059/tjosal.2011.27.1.21.

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12

MIYAZAKI, TAKASHI, and SHIGEYUKI HAMORI. "THE DETERMINANTS OF A SIMULTANEOUS CRASH IN GOLD AND STOCK MARKETS: AN ORDERED LOGIT APPROACH." Annals of Financial Economics 13, no. 01 (2018): 1850004. http://dx.doi.org/10.1142/s2010495218500045.

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In this study, we identify the determinants of a simultaneous crash in gold and stock markets by employing an ordered logit model. We find that a default spread, among the various financial risk indicators, is a valid determinant and that changes in investors’ beliefs, their uncertainties, and surprise changes in these uncertainties about gold and stock markets contain useful information for explaining the occurrence of a simultaneous crash in the two markets. Further, we recognize that the effect of some covariates on crash probability is state-dependent. In addition to these empirical result

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13

LEVENDORSKIĬ, SERGEI. "METHOD OF PAIRED CONTOURS AND PRICING BARRIER OPTIONS AND CDSs OF LONG MATURITIES." International Journal of Theoretical and Applied Finance 17, no. 05 (2014): 1450033. http://dx.doi.org/10.1142/s0219024914500332.

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For prices of options with barrier and lookback features, defaultable bonds and credit default swaps (CDSs), and probability distribution functions in Lévy models, as well as for joint probability distributions of a Lévy process and its supremum or/and infimum, one can derive explicit analytical formulas in terms of inverse Laplace/Fourier transforms and the Wiener–Hopf factorization. Unless the characteristic exponent is rational, the main examples being Brownian motion, double exponential jump-diffusion and hyper-exponential jump-diffusion models, accurate numerical realization of these form

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14

Dzhafarov, Ehtibar N. "On joint distributions, counterfactual values and hidden variables in understanding contextuality." Philosophical Transactions of the Royal Society A: Mathematical, Physical and Engineering Sciences 377, no. 2157 (2019): 20190144. http://dx.doi.org/10.1098/rsta.2019.0144.

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This paper deals with three traditional ways of defining contextuality: (C1) in terms of (non)existence of certain joint distributions involving measurements made in several mutually exclusive contexts; (C2) in terms of relationship between factual measurements in a given context and counterfactual measurements that could be made if one used other contexts; and (C3) in terms of (non)existence of ‘hidden variables’ that determine the outcomes of all factually performed measurements. It is generally believed that the three meanings are equivalent, but the issues involved are not entirely transpa

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15

Zhang, Xiaoming, Chunyan Wei, and Stefano Zedda. "Analysis of China Commercial Banks’ Systemic Risk Sustainability through the Leave-One-Out Approach." Sustainability 12, no. 1 (2019): 203. http://dx.doi.org/10.3390/su12010203.

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One of the main issues in the recent Chinese financial reform is aimed at effectively measuring systemic risk and taking appropriate measures to ensure its sustainability and prevent new crises. In this paper, we firstly introduced the present macro-prudential policies implied in China and pointed out the existing problems. Secondly, we analyzed the banks’ assets riskiness and the banks’ probability to default, then, by means of a leave-one-out model, we measured each commercial bank systemic risk contribution. Thirdly, based on comprehensive empirical results and theoretical analysis, we prov

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16

Khrennikov, Andrei. "Contextuality, Complementarity, Signaling, and Bell Tests." Entropy 24, no. 10 (2022): 1380. http://dx.doi.org/10.3390/e24101380.

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This is a review devoted to the complementarity–contextuality interplay with connection to the Bell inequalities. Starting the discussion with complementarity, I point to contextuality as its seed. Bohr contextuality is the dependence of an observable’s outcome on the experimental context; on the system–apparatus interaction. Probabilistically, complementarity means that the joint probability distribution (JPD) does not exist. Instead of the JPD, one has to operate with contextual probabilities. The Bell inequalities are interpreted as the statistical tests of contextuality, and hence, incompa

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17

Cossin, Didier, Henry Schellhorn, Nan Song, and Satjaporn Tungsong. "A Theoretical Argument Why the t-Copula Explains Credit Risk Contagion Better than the Gaussian Copula." Advances in Decision Sciences 2010 (May 19, 2010): 1–29. http://dx.doi.org/10.1155/2010/546547.

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One of the key questions in credit dependence modelling is the specfication of the copula function linking the marginals of default variables. Copulae functions are important because they allow to decouple statistical inference into two parts: inference of the marginals and inference of the dependence. This is particularly important in the area of credit risk where information on dependence is scant. Whereas the techniques to estimate the parameters of the copula function seem to be fairly well established, the choice of the copula function is still an open problem. We find out by simulation t

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18

Roh, Woosub, Masaki Satoh, and Tomoe Nasuno. "Improvement of a Cloud Microphysics Scheme for a Global Nonhydrostatic Model Using TRMM and a Satellite Simulator." Journal of the Atmospheric Sciences 74, no. 1 (2017): 167–84. http://dx.doi.org/10.1175/jas-d-16-0027.1.

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Abstract The cloud and precipitation simulated by a global nonhydrostatic model with a 3.5-km horizontal resolution, the Nonhydrostatic Icosahedral Atmospheric Model (NICAM), are evaluated using the Tropical Rainfall Measuring Mission (TRMM) and a satellite simulator. A previous study by Roh and Satoh evaluated the single-moment bulk microphysics and established the modified microphysics scheme for the specific tropical open ocean using a regional version of NICAM. In this study, the authors expanded the evaluation over the entire tropics and parts of the midlatitude areas (20°–36°S, 20°–36°N)

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19

Li, Weiping. "Credit coordinate ratings with corresponding credit rating agencies and regulations." Journal of Financial Engineering 01, no. 01 (2014): 1450002. http://dx.doi.org/10.1142/s2345768614500020.

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This paper develops a coordinate rating for Credit Rating Agencies (CRAs) in the rating market. We first show that there is a necessary condition for the restructured sub-portfolios to have no-arbitrage principle for coordinate ratings. The coordinate rating is not only a natural extension of a single rating, but also reduces the rating bias and increases the rating accuracy. We solve the voluntary-disclosure decision problem for the issuer in terms of coordinate ratings. Furthermore, we show that the complexities of sub-portfolios do reduce the incentive to shop for the coordinate rating by c

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20

Pinto, Francisco J., José Toledo, Matías Birrell, Ramiro Bazáez, Francisco Hernández, and Rodrigo Astroza. "Uncertainty Quantification in Constitutive Models of Highway Bridge Components: Seismic Bars and Elastomeric Bearings." Materials 16, no. 5 (2023): 1792. http://dx.doi.org/10.3390/ma16051792.

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Bridges are essential structures in the logistic chain of countries, making it critical to design them to be as resilient as possible. One way to achieve this is through performance-based seismic design (PBSD), which involves using nonlinear Finite Element (FE) models to predict the response and potential damage of different structural components under earthquake excitations. Nonlinear FE models need accurate constitutive models of material and components. Among them, seismic bars and laminated elastomeric bearings play an important role in a bridge’s response to earthquakes; therefore, proper

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21

Tao, Zhang, Xin Li, Xinquan Liu, and Nana Feng. "Analysis of Signal Game for Supply Chain Finance (SCF) of MSEs and Banks Based on Incomplete Information Model." Discrete Dynamics in Nature and Society 2019 (March 26, 2019): 1–6. http://dx.doi.org/10.1155/2019/3646097.

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The signal gaming model based on incomplete information is used to analyze the decisions of commercial banks and medium-sized and small enterprises (SMEs) in supply chain finance business. It is found that the returns of banks are closely relied on the probability of good SMEs join which is proportional to θ (the probability of “good” SMEs in the market) and p (the probability of “good” SMEs chosen to join the supply chain finance) in supply chain finance business, and the default cost is an important constrain for determining the strategies adopted by the SMEs and the banks. To achieve higher

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22

Caselli, Giorgio, Catarina Figueira, and Joseph G. Nellis. "Ownership diversity and the risk-taking channel of monetary policy transmission." Cambridge Journal of Economics 44, no. 6 (2020): 1329–64. http://dx.doi.org/10.1093/cje/beaa011.

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Abstract This paper joins a rapidly growing body of literature that aims to uncover the link between monetary policy and bank risk taking. We investigate the hypothesis that the ownership composition of the banking system moderates monetary policy transmission via the risk-taking channel. Borrowing measures used in ecology to quantify diversity of species within an ecosystem and first applied to the field of finance by Michie, J. and Oughton, C. 2013. ‘Measuring Diversity in Financial Services Markets: A Diversity Index’, Centre for Financial and Management Studies Discussion Papers no. 113, t

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23

Chen, Yu, and Yu Xing. "Credit default swap pricing with counterparty risk in a reduced form model with a common jump process." Probability in the Engineering and Informational Sciences, February 22, 2022, 1–19. http://dx.doi.org/10.1017/s0269964822000018.

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Abstract In this paper, we study the credit default swap (CDS) pricing with counterparty risk in a reduced form model. The default jump intensities of the reference firm and counterparty are both assumed to follow the mean-reverting CIR processes with independent jumps respectively and a common jump. The approximate closed-form solutions of the joint survival probability density and the probability density of the first default can be obtained by using the PDE method. Then with the expressions of the probability densities, we can get the formula for the CDS price with counterparty risk in a red

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24

Bochmann, Paul, Paul Hiebert, Yves S. Schüler, and Miguel Segoviano. "Latent Fragility: Conditioning Banks' Joint Probability of Default on the Financial Cycle." SSRN Electronic Journal, 2022. http://dx.doi.org/10.2139/ssrn.4183056.

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25

Vana, Laura, and Kurt Hornik. "Dynamic modelling of corporate credit ratings and defaults." Statistical Modelling, December 17, 2021, 1471082X2110576. http://dx.doi.org/10.1177/1471082x211057610.

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In this article, we propose a longitudinal multivariate model for binary and ordinal outcomes to describe the dynamic relationship among firm defaults and credit ratings from various raters. The latent probability of default is modelled as a dynamic process which contains additive firm-specific effects, a latent systematic factor representing the business cycle and idiosyncratic observed and unobserved factors. The joint set-up also facilitates the estimation of a bias for each rater which captures changes in the rating standards of the rating agencies. Bayesian estimation techniques are emplo

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26

Azamighaimasi, Arsalan. "Portfolio Risk and Dependence Modeling: Application of Factor and Copula Models." International Journal of Banking and Finance, September 18, 2012. http://dx.doi.org/10.32890/ijbf2012.9.3.8455.

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We consider portfolio credit risk modeling with a focus on two approaches, the factor model, and the copula model. While other models have received greater scrutiny, both factor and cupola models have received little attention although these are appropriate for rating-based portfolio risk analysis. We review the two models with emphasis on the joint default probability. The copula function describes the dependence structure of a multivariate random variable. In this paper, it is used as a practical to simulation of generate portfolio with different copula, we only use Gaussian and t-copula cas

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27

Mroz, Thomas, Juan Fernández Sánchez, Sebastian Fuchs, and Wolfgang Trutschnig. "On distributions with fixed marginals maximizing the joint or the prior default probability, estimation, and related results." Journal of Statistical Planning and Inference, July 2022. http://dx.doi.org/10.1016/j.jspi.2022.07.005.

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28

Zhang, Yongtao, Hui Zhao, Ximin Rong, and Kai Han. "Optimal investment and reinsurance problem toward joint interests of the insurer and the reinsurer under default risk." Communications in Statistics - Theory and Methods, January 5, 2021, 1–25. http://dx.doi.org/10.1080/03610926.2020.1862872.

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29

McNorgan, Chris, Cary Judson, Dakota Handzlik, and John G. Holden. "Linking ADHD and Behavioral Assessment Through Identification of Shared Diagnostic Task-Based Functional Connections." Frontiers in Physiology 11 (December 17, 2020). http://dx.doi.org/10.3389/fphys.2020.583005.

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A mixed literature implicates atypical connectivity involving attentional, reward and task inhibition networks in ADHD. The neural mechanisms underlying the utility of behavioral tasks in ADHD diagnosis are likewise underexplored. We hypothesized that a machine-learning classifier may use task-based functional connectivity to compute a joint probability function that identifies connectivity signatures that accurately predict ADHD diagnosis and performance on a clinically-relevant behavioral task, providing an explicit neural mechanism linking behavioral phenotype to diagnosis. We analyzed arch

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30

Shi, Yanjing, and Haiyan Wang. "Game Analysis of Risk Factors under Export Credit Insurance Finance." Asia-Pacific Journal of Risk and Insurance 12, no. 2 (2018). http://dx.doi.org/10.1515/apjri-2017-0027.

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Abstract Export credit insurance plays an important role in promoting exportation, and thus it represents a guarantee of payment receivable for exporter. It not only offers a good way to disperse and release risk caused by uncertainty of foreign countries and importers’ credit, but also inspires a good finance support for exporter. Export corporations can apply loan from banks easily with the guarantee of export credit insurance. Characterized with lower threshold, export credit insurance finance(ECIF) becomes a good funding choice especially for small and medium companies and brings considera

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