We consider a factor approach to the pricing of basket credit derivatives and synthetic CDO tranches. Our purpose is to deal in a convenient way with dependent defaults for a large number of names. We provide semi-explicit expressions of the stochastic intensities of default times and pricing formulae for basket default swaps and CDO tranches. Two cases are studied in detail: mean-variance mixt...

Although mind wandering occupies a large proportion of our waking life, its neural basis and relation to ongoing behavior remain controversial. We report an fMRI study that used experience sampling to provide an online measure of mind wandering during a concurrent task. Analyses focused on the interval of time immediately preceding experience sampling probes demonstrate activation of default ne...

The purpose of this paper is to analyze the risks of synthetic CDO structures and their sensitivity to model parameters. In order to measure these sensitivities, I also introduce the latest techniques in the pricing and risk management of synthetic CDOs. I show how to model the conditional and unconditional default distributions of a typical synthetic deal using a simple mathematical framework....

The main goal of this paper is modeling credit risk of non-financial businesses entities by assessing the rating migration probabilities and predicting the probability of default over one year horizon on the basis of corporate financial accounts. Our research provides a number of new important insights. Ratings migration matrices are symmetrical in every observed period, which implies that defa...

This research is aimed to know and comprehend the validity of sale purchase transactions through facebook reviewed from Civil Law understand legal protection parties in case default. The type with qualitative analysis method that collecting data based on quality relating issues discussed. findings are: First: considered valid because number 11 year 2008 EIT Law. Second: basically, default has b...

the present paper aimed at studying the current models of credit portfolio management. there are currently three types of models which consider the risk of credit portfolio: the structural models (moody's kmv model, and credit- metrics model), the intensity models (the actuarial models) and the econometric models (the macro-factors model). the development of these three types of models is based...

When analyzing default predictions in real estate companies, the number of non-defaulted cases always greatly exceeds the defaulted ones, which creates the twoclass imbalance problem. This lowers the ability of prediction models to distinguish the default sample. In order to avoid this sample selection bias and to improve the prediction model, this paper applies a minority sample generation app...

Any proper operation could be translated as a constrained optimization problem inside a WWTP, whose nonlinear behavior renders its control problems quite attractive for performance of multivariable optimization–based control technique algorithms, such as NMPC. The main advantage of this control technique lies in its ability to handle model nonlinearity as well as various types of constraints on...

Abstract Default effects are pervasive, but the reason they arise is often unclear. We study optimal policy when planner does not know whether an observed default effect reflects a welfare-relevant preference or mistake. Within broad class of models, we find that determining impossible without resolving this ambiguity. Depending on resolution, tends in opposite directions: either minimizing num...