We propose a Bayesian nonparametric model to estimate rating migration matrices and default probabilities using the reinforced urn processes (RUP) introduced in Muliere et al. (2000). The estimated default probability becomes our prior information in a parametric model for the prediction of the number of bankruptcies, with the only assumption of exchangeability within rating classes. The Polya ...

The market for derivatives with payoffs contingent on the credit quality of a number of reference entities has grown considerably over recent years. The risk analysis and valuation of such multi-name structures often relies on simulating the performance of the underlying credits. In this paper we discuss the simulation of correlated unpredictable default arrival times. Our algorithm is based on...

Image reconstruction in X ray tomography consists in determining an object from its projections. In many applications such as non destructive testing, we look for an image who has a constant value inside a region (default) and another constant value outside that region (homogeneous region surrounding the default). The image reconstruction problem becomes then the determination of the shape of t...

Default logic is one of the most popular approaches to model defeasible reasoning. Nevertheless, there are a number of problems with Reiter's original semantics that have led to the investigation of alternative approaches. In particular, Baral/Subrahmanian and Przymusinska/Przymusinski have investigated generalizations of well-founded semantics for normal logic programs to default logic. These ...

A convertible bond is a security that the holder can convert into a specified number of underlying shares. We enrich the standard model by introducing some default risk of the issuer. Once default has occured payments stop immediately. In the context of a reduced form model with infinite time horizon driven by a Brownian motion, analytical formulae for the no-arbitrage price of this American co...