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David Wozabal

  1. A Coupled Markov Chain approach to risk analysis of credit default swap index products.

    Пт, 11/20/2009 - 16:01 — SomNambul
    Authors: Ronald Hochreiter, David Wozabal
    Subjects: Risk Management
    Abstract

    We apply a Coupled Markov Chain approach to model rating transitions and
    thereby default probabilities of companies. We estimate parameters by applying
    a maximum likelihood estimation using a large set of historical ratings. Given
    the parameters the model can be used to simulate scenarios for joint rating
    changes of a set of companies, enabling the use of contemporary risk management
    techniques. We obtain scenarios for the payment streams generated by CDX
    contracts and portfolios of such contracts.

  2. Evolutionary estimation of a Coupled Markov Chain credit risk model.

    Пт, 11/20/2009 - 16:01 — SomNambul
    Authors: Ronald Hochreiter, David Wozabal
    Subjects: Neural and Evolutionary Computation
    Abstract

    There exists a range of different models for estimating and simulating credit
    risk transitions to optimally manage credit risk portfolios and products. In
    this chapter we present a Coupled Markov Chain approach to model rating
    transitions and thereby default probabilities of companies. As the likelihood
    of the model turns out to be a non-convex function of the parameters to be
    estimated, we apply heuristics to find the ML estimators.

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