Prediction of fractional convoluted Lévy processes with application to credit risk

Conditional Characteristic Functions of Molchan-Golosov Fractional Lévy Processes with Application to Credit Risk

Molchan-Golosov fractional Lévy processes (MG-fLps) are introduced by a multivariate componentwise Molchan-Golosov transformation based on an n-dimensional driving Lévy process. Using results of fractional calculus and infinitely divisible distributions we are able to calculate the conditional characteristic function of integrals driven by MG-fLps. This leads to important prediction results inc...

Credit risk with infinite dimensional Lévy processes

Personal Credit Score Prediction using Data Mining Algorithms (Case Study: Bank Customers)

Knowledge and information extraction from data is an age-old concept in scientific studies. In industrial decision-making processes, the application of this concept gives rise to data-mining opportunities. Personal credit scoring is an ever-vital tool for banking systems in order to manage and minimize the inherent risks of the financial sector, thus, the design and improvement of credit scorin...

Stochastic Calculus for Convoluted Lévy Processes

Abstract. We develop a stochastic calculus for processes which are built by convoluting a pure jump, zero expectation Lévy process with a Volterra-type kernel. This class of processes contains, for example, fractional Lévy processes as studied in Marquardt (2006b). The integral which we introduce is a Skorohod integral. Nonetheless we avoid the technicalities from Malliavin calculus and white n...

Identification of Factors Affecting on Credit Risk in the Iran Banking Industry of Iran Using Stress Test

Credit risk is due to that recipients of the facility, deliberately or involuntarily, don’t have ability to repay their debts to the banking system that this risk is critical in Iran compared to the global. Therefore, the purpose of this study was to investigate the effect of macroeconomic variables on credit risk of Iranian banking industry during the 2006-2016 years and also simulation and pr...