Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/257914 
Year of Publication: 
2019
Citation: 
[Journal:] Risks [ISSN:] 2227-9091 [Volume:] 7 [Issue:] 3 [Publisher:] MDPI [Place:] Basel [Year:] 2019 [Pages:] 76-
Publisher: 
MDPI, Basel
Abstract: 
We propose an alternative approach to the modeling of the positive dependence between the probability of default and the loss given default in a portfolio of exposures, using a bivariate urn process. The model combines the power of Bayesian nonparametrics and statistical learning, allowing for the elicitation and the exploitation of experts' judgements, and for the constant update of this information over time, every time new data are available. A real-world application on mortgages is described using the Single Family Loan-Level Dataset by Freddie Mac.
Subjects: 
dependence
loss given default
probability of default
urn model
wrong-way risk
Persistent Identifier of the first edition: 
Creative Commons License: 
cc-by Logo
Document Type: 
Article
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