R3 chase - Pursuit

Change Point Detection Time Series

  Change Point Detection Methods Kernel Change Point Detection: Kernel change point detection method detects changes in the distribution of ...

  • PCA: Eigenvalues & Eigen Vectors
      Excel (Macro enable workbook) and VBA code: https://drive.google.com/drive/folders/18tIKLLg8MfJ2MYDjLPAWHspEbApVIpGz?usp=sharing PCA: Eige...
  • Low Default Portfolio (PD)
      Modeling Low Default Portfolio (Independent Default Events): Pluto and Tasche method for calculating probability of default for portfolios...
  • 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 co...