A reinforced urn process modeling of recovery rates and recovery times

Cheng Dan; Cirillo Pasquale

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A reinforced urn process modeling of recovery rates and recovery times

机译：回收率和回收时间的强化缸工艺建模

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Answering a major demand in modern credit risk management, we propose a nonparametric survival approach for the modeling of the recovery rate and the recovery time of a defaulted counterparty, by introducing what we call the Recovery Reinforced Urn Process, a special type of combinatorial stochastic process.

机译：回答了现代信用风险管理中的一个主要需求，我们通过引入所谓的回收强化Process过程（一种特殊的组合随机过程），提出了一种用于对违约对手的回收率和回收时间建模的非参数生存方法。。

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《Journal of banking & finance》 |2018年第11期|1-17|共17页
作者
Cheng Dan; Cirillo Pasquale;
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Delft Univ Technol TU Delft, Appl Probabil Grp, Mourik Broekmanweg 6, NL-2628 XE Delft, Netherlands;

Delft Univ Technol TU Delft, Appl Probabil Grp, Mourik Broekmanweg 6, NL-2628 XE Delft, Netherlands;

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正文语种 eng
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Loss-given-default; Recovery rate; Reinforced Urn Process (RUP); Survival analysis; Machine learning; Bayesian methods;

机译：给定违约损失率;恢复率;增强Process过程（RUP）;生存分析;机器学习;贝叶斯方法;

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1. The psychiatric nurse's role in application of recovery and decision-making models to integrate health behaviors in the recovery process. [J] . Camann MA Issues in mental health nursing . 2010,第8期

机译：精神科护士在应用恢复和决策模型以将健康行为纳入恢复过程中的作用。
2. Modeling stochastic recovery rates and dependence between default rates and recovery rates within a generalized credit portfolio framework [J] . Matthias Fischer, Christoph K?stler, Kevin Jakob Journal of statistical theory and practice . 2016,第1a2期

机译：在广义信贷组合框架内建模随机回收率以及违约率与回收率之间的依赖关系
3. TEST OF A BENTHIC MACROINVERTEBRATE HABITAT-FLOW TIME SERIES MODEL INCORPORATING DISTURBANCE AND RECOVERY PROCESSES [J] . J. W. HAYES, K. A. SHEARER, E. O. GOODWIN, River Research and Applications . 2015,第7期

机译：扰动和恢复过程的底栖大型无脊椎动物栖息地流动时间序列模型的测试
4. Modeling Sediment Dynamics and Natural Recovery Rates in Lake Allegan Michigan Using RECOVERY [C] . Alison Skwarski, Michael J. Erickson, Charles Barnes, International conference on remediation of contaminated sediments . 2013

机译：利用RECOVERY模拟密歇根州阿勒根湖的沉积物动力学和自然采收率
5. Assessment of the uncertainty associated with three phase flow recovery processes by using simulation models calibrated by two phase recovery processes. [D] . Alharbi, Amal Saeed. 2011

机译：通过使用由两相回收过程校准的仿真模型评估与三相流回收过程相关的不确定性。
6. Time-varying and state-dependent recovery rates in epidemiological models [O] . Scott Greenhalgh, Troy Day 2017

机译：流行病学模型中时变和状态依赖的恢复率
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8. Understanding the Role of Recovery in Default Risk Models: Empirical Comparisons and Implied Recovery Rates. FDIC Center for Financial Research Working Paper, No. 2006-06 [R] . Bakshi, G., Madan, D., Zhang, F. 2006

机译：了解恢复在违约风险模型中的作用：经验比较和隐含恢复率。 FDIC金融研究中心工作文件，第2006-06号

A reinforced urn process modeling of recovery rates and recovery times

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