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Using Credit Risk Models for Regulatory Capital: Issues and Options pot

Tài liệu OCCASIONAL PAPER SERIES NO 64 / JULY 2007: THE USE OF PORTFOLIO CREDIT RISK MODELS IN CENTRAL BANKS doc

Tài liệu OCCASIONAL PAPER SERIES NO 64 / JULY 2007: THE USE OF PORTFOLIO CREDIT RISK MODELS IN CENTRAL BANKS doc

... 9ECB Occasional Paper No 64July 20073 CREDIT RISK MODELS 3.1 OVERVIEW OF CREDIT RISK MODELLING ISSUES In recent years, the literature on credit risk modelling has grown tremendously; even ... would clearly reflect credit risk. In practice, it is not always possible to distinguish between spread risk and credit risk. When spreads change for one issuer only, and the rest of the market ... methodology developed by the RiskMetrics Group and formerly J.P. Morgan), Portfolio Manager™ (from KMV), CreditRisk+ (developed by Credit Suisse Financial Products) and CreditPortfolioView (from...
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Banks’ regulatory capital buffer and the business cycle: evidence for German savings and cooperative banks pot

Banks’ regulatory capital buffer and the business cycle: evidence for German savings and cooperative banks pot

... Specifications 1 and 2 in Tables 3 and 4 show the results for capital and risk- weighted assets. Capital fluctuates anticyclically for savings banks and procyclically for cooperative banks. Further, risk- weighted ... i.e., capital and risk- weighted assets. The effect of loan demand is then expected to show in the regression for risk- weighted assets. 4.3 Adjustments in Regulatory Capital and Risk- Weighted ... eligible for Tier 1 and Tier 2 capital and, as of 1998, also Tier 3 capital elements for market price risks. RISK is the sum of all assets weighted by their respective risk weight. The risk weights...
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SEMI-MARKOV RISK MODELS FOR FINANCE, INSURANCE AND RELIABILITY doc

SEMI-MARKOV RISK MODELS FOR FINANCE, INSURANCE AND RELIABILITY doc

... completely new risk models with great expectations for future applications, particularly in ruin theory. Chapter 8 presents classical and semi-Markov models for reliability and credit risk, including ... Interest Rate Model 277 7 Insurance Risk Models 281 1 Classical Stochastic Models for Risk Theory and Ruin Probability 281 1.1 The G/G or E.S. Andersen Risk Model 282 1.1.1 The Model 282 ... Contents 3 Stochastic Modelling for Credit Risk Management 351 3.1 The Problem of Credit Risk 351 3.2 Construction of a Rating Using the Merton Model for the Firm 352 3.3 Time Dynamic...
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Tài liệu ACCOUNTING FOR MINERAL RESOURCES: ISSUES AND BEA''''S INITIAL ESTIMATES doc

Tài liệu ACCOUNTING FOR MINERAL RESOURCES: ISSUES AND BEA''''S INITIAL ESTIMATES doc

... estimatesof metals for –; and tables .–. presentestimates of other minerals for –.Conceptual and Methodological Issues In addressing conceptual and methodological issues for mineral ... gener-ate current- and constant-dollar capital stock and depreciation estimates for oil extraction and for gas extraction.Other mineralsInconsistencies in data and a paucity of data for nonbenchmark ... symmetrically for mineral resources as a form of capital has beenblamed both for their over- or under-exploitation and for incomplete analysis and policy decisionsin areas relating to productivity and...
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Credit-risk valuation in the sovereign CDS and bonds markets: Evidence from the euro area crisis ppt

Credit-risk valuation in the sovereign CDS and bonds markets: Evidence from the euro area crisis ppt

... was 4 bp for both France and The Netherlands, and the highest average was 25 bp for Greece. For the period 2009-2011, the lowest annual average CDS spread was 31 bp for Finland in 2010 and the ... a measure of the country and global risk premium. If both the CDS and bond spreads are prices for the same credit risk, the effect of the country-specific and global -risk premia on the basis ... should be purely random and unrelated to any systematic factor. Moreover, in such a frictionless scenario, both spreads (or credit- risk prices) should incorporate the credit- risk information in...
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A Comparison of Event Models for Naive Bayes Text Classi cation potx

A Comparison of Event Models for Naive Bayes Text Classi cation potx

... may be expanded by first substi-tuting using Equations 1 and 4. Then the expansionof individual terms for this equation are dependent onthe event model used. Use Equations 2 and 3 for themulti-variate ... and is appro-priate for tasks that have a fixed number of attributes.The approach has been used for text classification bynumerous people (Robertson and Sparck-Jones 1976;Lewis 1992; Kalt and ... describingthe differences and details of these two models, and byempirically comparing their classification performanceon five text corpora. We find that the multi-variateBernoulli performs well with small...
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Báo cáo khoa học:

Báo cáo khoa học: "Rule Markov Models for Fast Tree-to-String Translation" pot

... outperforms minimal rules, and performs at the samelevel as composed and vertically composed rules, but is smaller and faster. The number of parameters is shown for both the full model and the ... discount for a context of length n, and (1− λn) isset to the value that makes the smoothed probabilitydistribution sum to one.We experiment with bigram and trigram ruleMarkov models. For each, ... For each, we try different values ofD1 and D2, the discount for bigrams and trigrams,respectively. Ney et al. (1994) suggest using the fol-lowing value for the discount Dn:Dn=n1n1+...
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Báo cáo khoa học:

Báo cáo khoa học: "Minimized Models for Unsupervised Part-of-Speech Tagging" pot

... data), and so are the tagging models used by Goldberget al. (2008). But previous results from Smith and Eisner (2005) and Goldwater and Griffiths (2007)show that their models do not benefit from using more ... possibilities for “w” (using only its suffix information), and subse-quently this word along with its 3 tags are added asa new entry to the lexicon. We do this for every un-known word, and eventually ... constraints (both at the local and global levels) directly using integer programming, and this may result in further improvements and lead to new possibilities for future research. For direct comparison...
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Providing and Funding Financial Literacy Programs for Low- Income Adults and Youth pot

Providing and Funding Financial Literacy Programs for Low- Income Adults and Youth pot

... training and relatedservices; prepare for and obtain employment;prepare for and enter post-secondary training and education; provide personal and emotionalsupport to youth through mentors and thepromotion ... Transportation, childcare, and an evening meal were provided for participants and their children. Credit bureaurepresentatives provided participants with information on their credit ratings and the mentors ... save for futureachievement or goals. Utilize relevant ideas thatencourage planning for future purchases and educational opportunities that are based on reallife options. For example, using...
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Performance Coaching: The Handbook for Managers, HR Professionals and Coaches pot

Performance Coaching: The Handbook for Managers, HR Professionals and Coaches pot

... as an effective and ethical instrument for change and gives a flavour of its depth, richness and subtlety, but is nevertheless accessible, comprehensible and usable for pro and novice alike. ... language”) and then of Penny Tompkins and James Lawley (“symbolic modeling”—Lawley and Tompkins, 2000). These three people have wonderfully presented us with simple and effective models for exploring ... clear and informative and each brings out one or more specific points about coaching processes and issues. “I would recommend this book to people wanting to extend their coaching skills and to...
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