Estimation of probability of default (PD), loss given default and exposure at default for portfolio segments containing reasonably homogeneous assets is essential for prudent risk management as well ...

Classical statistical approaches for multiclass probability estimation are typically based on regression techniques such as multiple logistic regression, or density estimation approaches such as ...

Nonparametric methods provide a flexible framework for estimating the probability density function of random variables without imposing a strict parametric model. By relying directly on observed data, ...

In this paper we consider the problem of estimating the parameters of a Markov model using so-called macro data. It will be shown that the stochastic process of the macro data is a Markov chain, which ...

Common ordinal models, including the ordered logit model and the continuation ratio model, are formulated by a common score (ie, a linear combination of given explanatory variables) plus rank-specific ...

According to a group of mathematics researchers, the probability in the following decade of the sun causing a storm strong enough to affect electrical and communication infrastructures around the ...