281 research outputs found
Optimizing instrument configurations in neutron scattering using Monte Carlo simulations (poster)
Capturing Model Risk and Rating Momentum in the Estimation of Probabilities of Default and Credit Rating Migrations
We present two methodologies on the estimation of rating transition
probabilities within Markov and non-Markov frameworks. We first estimate a
continuous-time Markov chain using discrete (missing) data and derive a simpler
expression for the Fisher information matrix, reducing the computational time
needed for the Wald confidence interval by a factor of a half. We provide an
efficient procedure for transferring such uncertainties from the generator
matrix of the Markov chain to the corresponding rating migration probabilities
and, crucially, default probabilities.
For our second contribution, we assume access to the full (continuous) data
set and propose a tractable and parsimonious self-exciting marked point
processes model able to capture the non-Markovian effect of rating momentum.
Compared to the Markov model, the non-Markov model yields higher probabilities
of default in the investment grades, but also lower default probabilities in
some speculative grades. Both findings agree with empirical observations and
have clear practical implications.
We illustrate all methods using data from Moody's proprietary corporate
credit ratings data set. Implementations are available in the R package ctmcd.Comment: 22 pages, 5 Figures, 4 Tables. To Appear in Quantitative Financ
Variance component models for survival data
Extensions of the Cox proportional hazards model for survival data are studied where allowance is made for unobserved heterogeneity and for correlation between the life times of several individuals The extended models are frailtymodels inspired by Yashin et al Estimation is carried out using the EM algorithm Inference is discussed and potential applications are outlined in particular to statistical research in human genetics using twin data or adoption data aimed at separating the eects of genetic and environmental factors on mortalit
Linear nonparametric tests for comparison of counting processes, with applications to censored survival data : (preprint)
Magnetic transition in Ni-Pt alloy Systems : Experiment and Theory
We report here the preparation and measurements on the susceptibility, sound
velocity and internal friction for Ni-Pt systems. We then compare these
experimental results with the first principle theoretical predictions and show
that there is reasonable agreement with experiment and theory.Comment: 9 pages, 5 figures. submitted to Journal of Magnetism and Magnetic
Material
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