Concept

Credit risk

Related publications (103)

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Patients with autoimmune polyendocrinopathy syndrome type 1 (APS-1) caused by autosomal recessive AIRE deficiency produce autoantibodies that neutralize type I interferons (IFNs) 1,2 , conferring a predisposition to life-threatening COVID-19 pneumonia 3 . ...

Berlin2023

Exchange options with stochastic liquidity risk

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In this article, we account for the liquidity risk in the underlying assets when pricing European exchange options, which has not been considered in the literature. An Ornstein-Uhlenbeck process with the mean -reversion property is selected to model the ma ...

PERGAMON-ELSEVIER SCIENCE LTD2023

Impact of Video Processing Operations in Deepfake Detection

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The detection of digital face manipulation in video has attracted extensive attention due to the increased risk to public trust. To counteract the malicious usage of such techniques, deep learning-based deepfake detection methods have been developed and ha ...

2023

A contagion process with self-exciting jumps in credit risk applications

Puneet Pasricha

The modeling of the probability of joint default or total number of defaults among the firms is one of the crucial problems to mitigate the credit risk since the default correlations significantly affect the portfolio loss distribution and hence play a sig ...

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Predicting the stressed expected loss of large US banks

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We develop a methodology to measure the expected loss of commercial banks in a market downturn, which we call stressed expected loss (SEL). We simulate a market downturn as a negative shock on interest rate and credit market risk factors that reflect the b ...

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Financial Risk Management with Machine Learning

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This thesis consists of three applications of machine learning techniques to risk management. The first chapter proposes a deep learning approach to estimate physical forward default intensities of companies. Default probabilities are computed using artifi ...

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Effects of Degrees of Freedom on Calculating Diffusion Properties in Nanoporous Materials br

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If one carries out a molecular simulation ofNparticlesusing periodic boundary conditions, linear momentum is conserved,and hence, the number of degrees of freedom is set to 3N-3. Inmost programs, this number of degrees of freedom is the defaultsetting. How ...

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Essays in Banking and Financial Regulation

Susanne Johanna Petronella Léonie Vissers

This thesis examines how banks choose their optimal capital structure and cash reserves in the presence of regulatory measures. The first chapter, titled Bank Capital Structure and Tail Risk, presents a bank capital structure model in which bank assets a ...

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A Generic Methodology for Calculating Rescheduling Time for Multiple Unexpected Events in the Era of Zero Defect Manufacturing

Dimitrios Kyritsis, Xiaochen Zheng, Foivos Psarommatis Giannakopoulos

Nowadays, the manufacturing industry is constantly changing. Production systems must operate in a highly dynamic environment where unexpected events could occur and create disruption, making rescheduling inevitable for manufacturing companies. Rescheduling ...

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Genetic variation near CXCL12 is associated with susceptibility to HIV-related non-Hodgkin lymphoma

Jacques Fellay, Christian Axel Wandall Thorball, Christian Hammer

Human immunodeficiency virus (HIV) infection is associated with an increased risk of non-Hodgkin lymphoma (NHL). Even in the era of suppressive antiretroviral treatment, HIV-infected individuals remain at higher risk of developing NHL compared to the gener ...

FERRATA STORTI FOUNDATION2021

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