63 search results - page 1 / 13 » Calibration of the default probability model |
EOR
2008
13 years 4 months ago
2008
In this paper, we study the calibration problem for the Merton
WSC
2004
13 years 6 months ago
2004
Determination of credit portfolio loss distributions is essential for the valuation and risk management of multiname credit derivatives such as CDOs. The default time model has re...
NMR
2004
Springer
13 years 10 months ago
2004
Springer
This paper presents statistical default logic, an expansion of classical (i.e., Reiter) default logic that allows us to model common inference patterns found in standard inferenti...
UAI
1994
13 years 6 months ago
1994
A logic is de ned that allows to express information about statistical probabilities and about degrees of belief in speci c propositions. By interpreting the twotypes of probabili...
ICST
2010
IEEE
13 years 3 months ago
2010
IEEE
—Markov chains with Labelled Transitions can be used to generate test cases in a model-based approach. These test cases are generated by random walks on the model according to pr...