[Forum SIS] Seminario Prof. Soyer - Politecnico di Milano

[anna.paganoni a polimi.it]

Si avvisa che in data 04 Luglio 2012, alle ore 14:30,
presso Aula Seminari F. Saleri VI Piano MOX - Dipartimento di
Matematica, Politecnico di Milano,
nell'ambito delle iniziative MOX, si svolgerà il
seguente seminario:

Relatore:
Prof. Refik Soyer,
Department of Decision Sciences,
Geroge Washington University,
Washington DC

Titolo:
Assessment of Mortgage Default Risk via Bayesian State Space Models

Abstract:
Managing risk at the aggregate level is crucial for banks and financial
institutions as required by the Basel II framework. In modeling mortgage
default risk at the aggregate level, issues such identifying the dynamic
behavior of default rate as well as the effect of macroeconomic variables
on default risk are of concern to both practitioners and researchers. In
addressing these issues, we propose discrete time Bayesian state space
models with Poisson observations and a stochastic default rate. In doing so
we discuss parameter updating and estimation using Markov chain Monte Carlo
methods. In assessing the dynamic nature of the mortgage default rate, we
compare the forecasting performance of the proposed models with a Bayesian
Poisson regression model used as a benchmark. We illustrate the use of the
proposed models using actual U.S. residential mortgage data and discuss
insights gained from Bayesian analysis. Furthermore, we discuss
multivariate extensions of the proposed model.


Tutti gli interessati sono invitati a partecipare.

Cordiali saluti,
Anna Maria Paganoni

-- 
Anna Maria Paganoni
MOX - Dipartimento di Matematica
Politecnico di Milano
Piazza Leonardo da Vinci 32
20133 Milano - Italy
tel: +39 02 2399 4574
fax: +39 02 2399 4568
email: anna.paganoni a polimi.it

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