Using Cutting-Edge Tree-Based Stochastic Models to Predict Credit Risk

Stochastic Models for Pricing Weather Derivatives using Constant Risk Premium

‎Pricing weather derivatives is becoming increasingly useful‎, ‎especially in developing economies‎. ‎We describe a statistical model based approach for pricing  weather derivatives by modeling and forecasting daily average temperatures data which exhibits long-range dependence‎. ‎We pre-process the temperature data by filtering for seasonality and volatility an...

Credit Risk, Credit Derivatives and Firm Value Based Models

∗Schwartz Center for Economic Policy Analysis, New School, New York, and Center for Empirical Macroeconomics, Bielefeld

Ratings-Based Models of Credit Risk

Binary Tree Pricing to Convertible Bonds with Credit Risk under Stochastic Interest Rates

and Applied Analysis 3

Credit Risk Scoring Models

Credit scoring models play a fundamental role in the risk management practice at most banks. They are used to quantify credit risk at counterparty or transaction level in the different phases of the credit cycle (e.g. application, behavioural, collection models). The credit score empowers users to make quick decisions or even to automate decisions and this is extremely desirable when banks are ...