This book provides the most comprehensive treatment of the theoretical concepts and
modelling techniques of quantitative risk management. Whether you are a financial risk …

The aims of this paper are threefold. First, we highlight the usefulness of generalized linear
mixed models (GLMMs) in the modelling of portfolio credit default risk. The GLMM-setting …

A new empirical reduced-form model for credit rating transitions is introduced. It is a
parametric intensity-based duration model with multiple states and driven by exogenous …

In the last decade rating-based models have become very popular in credit risk
management. These systems use the rating of a company as the decisive variable to …

The Basel II Accord requires banks to establish rigorous statistical procedures for the
estimation and validation of default and ratings transition probabilities. This raises great …

Information on the expected changes in credit quality of obligors is contained in credit
migration matrices which trace out the movements of firms across ratings categories in a …

We introduce the multivariate Jacobi process as a representation for the dynamics of a
stochastic discrete probability distribution. Its domain of application is dynamic analysis of …

The individual risks faced by banks, insurers, and marketers are less well understood than
aggregate risks such as market-price changes. But the risks incurred or carried by individual …

Multistate delinquency models model the probability that an credit account transits from one
state of delinquency to another between any two points in the life of the account. Using a …

Continuous-time affine models have been recently introduced in the theoretical financial
literature on credit risk. They provide a coherent modeling, rather easy to implement, but …