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Gambler's Ruin

The term “gambler’s ruin” is used for a number of statistical ideas whose common denominator is predicting the eventual outcome of a series of repeated bets.

Aaron Brown
Thu 22 Jun 2023
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Do not Forget the Economy when Estimating Default Probabilities

Traditional rating systems do not include macroeconomic variables. This article shows techniques to integrate macroeconomic information into a rating model and then illustrates how the macroeconomic variables improve the performance of a model for small and medium sized companies.

Bernd Engelmann, Daniel Porath
Tue 17 Jan 2023
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Pricing Credit Derivatives with Uncertain Default Probabilities

In this article, the author presents a model for pricing credit spread options in an environment where the rating transition probabilities are uncertain parameters.

Vivien Brunel
Tue 11 Oct 2022
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The Chemistry of Contagious Defaults

In this article, the authors have obtained a dynamical Markovian model of default interactions that describes portfolio’s dynamics endogenously through the mechanism of chemical reactions.

Vlad Putyatin and Svetlana Maslova
Thu 1 Sep 2022
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VaR as a Percentile

In this white paper Dr. Richard Diamond expands on the concept of Value at Risk (VAR) from a formula based on the critical value, to its true definition of being a property of the joint probability distribution of risk factors.

Richard Diamond
Fri 4 Apr 2014