Statistics – Applications
Scientific paper
2010-10-18
Statistics
Applications
Scientific paper
In this paper we propose a new nonparametric approach to interacting failing systems (FS), that is systems whose probability of failure is not negligible in a fixed time horizon, a typical example being firms and financial bonds. The main purpose when studying a FS is to calculate the probability of default and the distribution of the number of failures that may occur during the observation period. A model used to study a failing system is defined default model. In particular, we present a general recursive model constructed by the means of inter- acting urns. After introducing the theoretical model and its properties we show a first application to credit risk modeling, showing how to assess the idiosyncratic probability of default of an obligor and the joint probability of failure of a set of obligors in a portfolio of risks, that are divided into reliability classes.
Cirillo Pasquale
Hüsler Jürg
Muliere Pietro
No associations
LandOfFree
A nonparametric urn-based approach to interacting failing systems with an application to credit risk modeling does not yet have a rating. At this time, there are no reviews or comments for this scientific paper.
If you have personal experience with A nonparametric urn-based approach to interacting failing systems with an application to credit risk modeling, we encourage you to share that experience with our LandOfFree.com community. Your opinion is very important and A nonparametric urn-based approach to interacting failing systems with an application to credit risk modeling will most certainly appreciate the feedback.
Profile ID: LFWR-SCP-O-305985