One of the controversies diversification is that it may not be beneficial to banks, as tends increase systemic risk. Recent theoretical and empirical work have addressed this problem. We argue, from a perspective, controversy ultimately depends on how risk assessed or measured. In particular, we observe when one talks about random losses (risk) there are two intertwined approaches. On hand, can...

Default loss distribution of corporate portfolios plays a crucial role in CDO tranche pricing, tracking error calculation and profit/loss assessment of corporation systems. This work gives an efficient algorithm to calculate the default loss distribution based on Hull-White probability bucketing approach and importance sampling method. The Gaussian copula model is assumed to calculate the condi...

This paper considers a hypothetical case in which bank wants to build routine climate stress test exercise on residential mortgage loans. The has regularly updated the probability of default (PD) and loss given (LGD) each loan under internal-rating-based (IRB) approach Basel II/III. Additionally, estimates stressed PD LGD associated with predetermined extreme weather event. Using simulation tec...

This study aims to analyze financial distress conditions using the Ohlson model in SOEs Non-Financial Sector for 2017-2020 year performance period. The object of analysis is non-financial and banking registered under Ministry SOEs. results are: 1) aggregate probability default all has increased from 2017 2020; 2) highest increase Probability Default 2020 compared 2019; 3) Tourism are sectors th...

First passage models, where corporate assets undergo a random walk and default occurs if the assets fall below a threshold, provide an attractive framework for modeling the default process. Recently such models have been generalized to allow a fluctuating default threshold or equivalently a fluctuating total recovery fraction R. For a given company a particular type of debt has a recovery fract...

A logic is defined which in addition to propositional calculus contains several types of probabilistic operators which are applied only to propositional formulas. For every s ∈ S, where S is the unit interval of a recursive nonarchimedean field, an unary operator P≥s(α) and binary operators CP=s(α, β) and CP≥s(α, β) (with the intended meaning ”the probability of α is at least s”, ”the condition...

background: tuberculosis remains a worldwide public health problem and india accounts for highest tb burden in the world. the aim of the study was to evaluate the trend and treatment outcome of tuberculosis (tb) cases treated under dots strat­egy at a district level in karnataka, india. methods : this was a retrospective record based study conducted in dakshina kannada district of karnataka, du...