Thursday, August 5, 2021

Modeling Low Default Portfolio Dependent Case:

 Modeling Low Default Portfolio Dependent Case:


VASCIEK MODEL: Dependence between the default is explained by by Vasicek model.

By using conditional probability from the Vasicek model in the case where there are no defaults, the probability of default is the solution of below equations:




-
Labels:

No comments:

Post a Comment

Subscribe to: Post Comments (Atom)

R3 chase - Pursuit

VIF (Variation Inflation Factor) vs. GVIF (Generalized VIF):

  VIF (Variation Inflation Factor) vs. GVIF (Generalized VIF): Handling Multicollinearity with Factor Variables When building regression mo...

  • PCA: Eigenvalues & Eigen Vectors
      Excel (Macro enable workbook) and VBA code: https://drive.google.com/drive/folders/18tIKLLg8MfJ2MYDjLPAWHspEbApVIpGz?usp=sharing PCA: Eige...
  • Stochastic (Martingale):
      Martingale- Martingales are a class of real-valued stochastic processes in discrete time: Brownian Motion, Brownian Motion with drift, Wal...
  • Huber M-estimation (CCF for EAD):
      Huber M-estimation is a robust regression technique used to address the influence of outliers on model parameters. It is used to calculate...