[Forum SIS] Seminario Dott. Peluso 30-10-15 ore 11.30

[Dip. Scienze Statistiche - Mi]

Il Dipartimento di Scienze Statistiche dell'Università Cattolica del Sacro Cuore ha organizzato un seminario, presentato dal Dott. Stefano Peluso, Dipartimento di Scienze statistiche, Università Cattolica del Sacro Cuore, dal titolo:


Parametric and Semiparametric Bayesian
Financial Risk Models



Venerdì 30 Ottobre dalle ore 11,30

in Aula G 053



Università Cattolica del Sacro Cuore - Milano

Largo Gemelli,1 - Edificio Lanzone 18

Abstract:
We propose a Bayesian nonparametric model to estimate rating migration matrices and default probabilities using the reinforced urn processes (RUP) introduced in Muliere et al. (2000). The estimated default probability becomes our prior information in a parametric model for the prediction of the number of bankruptcies, with the only assumption of exchangeability within rating classes. The Polya urn construction of the transition matrix justifies a Beta distributed de Finetti measure. Dependence among the processes is introduced through the dependence among the default probabilities, with the Bivariate Beta Distribution proposed in Olkin and Liu (2003) and its multivariate generalization.



Segreteria Organizzativa:

Barbara Villa
Dipartimento di Scienze statistiche
Edificio Via Lanzone, 18
Dip.scienzestatistiche at unicatt.it<mailto:Dip.scienzestatistiche at unicatt.it>
Tel. +39 02 7234 2647
Fax +39 02 7234 3064


Università Cattolica del Sacro Cuore
Largo Gemelli 1, 20123 Milano
www.unicatt.it<http://www.unicatt.it/>


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