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Please use this identifier to cite or link to this item: https://doi.org/10.21256/zhaw-25287
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dc.contributor.authorCheng, Dan-
dc.contributor.authorCirillo, Pasquale-
dc.date.accessioned2022-07-08T12:20:44Z-
dc.date.available2022-07-08T12:20:44Z-
dc.date.issued2019-
dc.identifier.issn2227-9091de_CH
dc.identifier.urihttps://digitalcollection.zhaw.ch/handle/11475/25287-
dc.description.abstractWe propose an alternative approach to the modeling of the positive dependence between the probability of default and the loss given default in a portfolio of exposures, using a bivariate urn process. The model combines the power of Bayesian nonparametrics and statistical learning, allowing for the elicitation and the exploitation of experts’ judgements, and for the constant update of this information over time, every time new data are available. A real-world application on mortgages is described using the Single Family Loan-Level Dataset by Freddie Mac.de_CH
dc.language.isoende_CH
dc.publisherMDPIde_CH
dc.relation.ispartofRisksde_CH
dc.rightshttps://creativecommons.org/licenses/by/4.0/de_CH
dc.subjectDependencede_CH
dc.subjectLoss given defaultde_CH
dc.subjectProbability of defaultde_CH
dc.subjectUrn modelde_CH
dc.subject.ddc332: Finanzwirtschaftde_CH
dc.titleAn urn-based nonparametric modeling of the dependence between PD and LGD with an application to mortgagesde_CH
dc.typeBeitrag in wissenschaftlicher Zeitschriftde_CH
dcterms.typeTextde_CH
zhaw.departementSchool of Management and Lawde_CH
dc.identifier.doi10.3390/risks7030076de_CH
dc.identifier.doi10.21256/zhaw-25287-
zhaw.funding.euNode_CH
zhaw.issue3de_CH
zhaw.originated.zhawNode_CH
zhaw.pages.start76de_CH
zhaw.publication.statuspublishedVersionde_CH
zhaw.volume7de_CH
zhaw.publication.reviewPeer review (Publikation)de_CH
zhaw.webfeedW: Spitzenpublikationde_CH
zhaw.author.additionalNode_CH
zhaw.display.portraitYesde_CH
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Cheng, D., & Cirillo, P. (2019). An urn-based nonparametric modeling of the dependence between PD and LGD with an application to mortgages. Risks, 7(3), 76. https://doi.org/10.3390/risks7030076
Cheng, D. and Cirillo, P. (2019) ‘An urn-based nonparametric modeling of the dependence between PD and LGD with an application to mortgages’, Risks, 7(3), p. 76. Available at: https://doi.org/10.3390/risks7030076.
D. Cheng and P. Cirillo, “An urn-based nonparametric modeling of the dependence between PD and LGD with an application to mortgages,” Risks, vol. 7, no. 3, p. 76, 2019, doi: 10.3390/risks7030076.
CHENG, Dan und Pasquale CIRILLO, 2019. An urn-based nonparametric modeling of the dependence between PD and LGD with an application to mortgages. Risks. 2019. Bd. 7, Nr. 3, S. 76. DOI 10.3390/risks7030076
Cheng, Dan, and Pasquale Cirillo. 2019. “An Urn-Based Nonparametric Modeling of the Dependence between PD and LGD with an Application to Mortgages.” Risks 7 (3): 76. https://doi.org/10.3390/risks7030076.
Cheng, Dan, and Pasquale Cirillo. “An Urn-Based Nonparametric Modeling of the Dependence between PD and LGD with an Application to Mortgages.” Risks, vol. 7, no. 3, 2019, p. 76, https://doi.org/10.3390/risks7030076.


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