Conference Papers

Fitting a distribution to Value-at-Risk and Expected Shortfall, with an application to covered bonds

Presenter(s): Dirk Tasche

Year of presentation: 2015

Affiliate institution: Bank of England

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Conference Papers

Crisis and LGD: developing a model for the retail portfolio

Presenter(s): Konstantinos Papalamprou; Paschalis Antoniou; Apostolos Doukas

Year of presentation: 2015

Affiliate institution: National Bank of Greece; Aristotle University of Thessaloniki

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Conference Papers

Workout periods and loss given default: decomposing the macroeconomic effect on recovery rates

Presenter(s): Dimitrios Papanastasiou

Year of presentation: 2015

Affiliate institution: The University of Edinburgh; Bank of England

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Conference Papers

Predicting default on credit loans: a Frequentist vs a Bayesian approach

Presenter(s): Daniel Lund; Ana Alina Tudoran; Rune Tousgaard Piil

Year of presentation: 2015

Affiliate institution: Jyske Bank; Aarhus University

Conference Papers

The analysis of the micro enterprise failures using survival models

Presenter(s): Aneta Ptak-Chmielewska

Year of presentation: 2015

Affiliate institution: Warsaw School of Economics

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Conference Papers

Better risk and attrition predictions: using temporal behaviour maps

Presenter(s): Shafi Rahman; Nitin Basant

Year of presentation: 2015

Affiliate institution: FICO

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Conference Papers

Inflated mixture models: applications to multimodality in loss given defualt

Presenter(s): Mauro Ribeiro de Oliveira Júnior; Francisco Louza; Gustavo Henrique de Araujo Pereira; Fernando Moreira; Raffaella Calabrese

Year of presentation: 2015

Affiliate institution: Caixa Econômica Federal; Federal University of Sao Carlos

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Conference Papers

Probabilistic graphical models for reverse stress testing for retail banks

Presenter(s): Mark Somers

Year of presentation: 2015

Affiliate institution: 4Most (Europe) Ltd

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Conference Papers

IFRS9 modelling approaches for retail portfolios

Presenter(s): Mark Somers

Year of presentation: 2015

Affiliate institution: 4Most (Europe) Ltd

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Conference Papers

Should we throw away the variance of the score estimates?

Presenter(s): Mark Surdutovich; Genaro Dueire Lins

Year of presentation: 2015

Affiliate institution: Itaú Unibanco

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