Andrija Djurovic
Senior Manager, Risk Advisory - Central Europe at Deloitte
- Report this post
๐๐ฌ๐ญ๐ข๐ฆ๐๐ญ๐ข๐ง๐ ๐ญ๐ก๐ ๐๐๐ซ๐๐ฆ๐๐ญ๐๐ซ๐ฌ ๐จ๐ ๐ญ๐ก๐ ๐๐๐ฌ๐ข๐๐๐ค ๐๐ข๐ฌ๐ญ๐ซ๐ข๐๐ฎ๐ญ๐ข๐จ๐งAs a follow-up to my previous post about the Vasicek distribution, I built a small Shiny application to fit the distribution to observed default rates. The application allows users to choose specific estimation methods and compare results. This can be done with a provided dummy dataset or by uploading a particular dataset following the instructions on the application's landing page.Those interested can check out the app via the link in the comments section.In the upcoming posts, I'll compare the biases of different estimation methods and explore potential modifications to the underlying distribution of the Vasicek model.
106
5 Comments
Andrija Djurovic
Senior Manager, Risk Advisory - Central Europe at Deloitte
1w
- Report this comment
Shiny app:https://andrijadj.shinyapps.io/vasicek_distribution/The Vasicek Distribution post:
2Reactions 3Reactions
Alan Forrest
Model Risk Professional
3d
- Report this comment
Andrija - Good post and excellent insights. Definitely the Vasicek model is the entry point to the deeper understanding of portfolio-level default behaviour, and \rho is the critical ingredient. Your calculations show the correct way to use and estimate \rho from data at hand.However, a word of caution. My experience here is that the value of \rho is statistically extremely uncertain if estimated only from internal data available to a financial institution- the likelihoods have very flat maxima. Even large portfolios (say 10^7 obligor years) and reasonably long time series (say 10 years) produce 90% confidence intervals for \rho (say for mortgages) that span almost 2 orders of magnitude. And if you want to vary \rho across risk bands (as is expected intuitively), then that is yet another noisy complication. I think this statistical uncertainty and the necessity of market-scale (not bank-scale) data, were behind the regulator's decision to prescribe particular values or formulae for \rho in the Basel 2 Accord. However in economic capital modelling and elsewhere there remains the need to appreciate the uncertainty of \rho, and I saw this uncertainly routinely underestimated whenever such models crossed my desk for validation.
1Reaction 2Reactions
Marc Labat, CFA
1w
- Report this comment
Thanks for sharing
1Reaction 2Reactions
To view or add a comment, sign in
More Relevant Posts
-
Sindri
249 followers
- Report this post
Sindri is joining up with Trail of Bits to bring auditor-level insights integrated right into your existing Sindri workflows.๐ This is a big deal for ZK app developers and researchers alike. Why?Because in-line auditing of your ZK applications from Trail of Bits are now a part of your CI/CD packaged together accessible infrastructure right at your fingertips with Sindri. All of this by simply running `sindri lint`For those of you not as familiar with Circomspect, it is a critical tool in ZK circuit and application development. It does the dirty, hard work of taking complex application design and running benchmarking tests to drive safer deployments. While this tool doesnโt replace an actual audit, it does provide core best practices out of the gate for anyone looking to learn or build in dev or prod.Blog post and jumpstart guide in the comments!
9
2 Comments
Like CommentTo view or add a comment, sign in
-
Saul Montoya
Hydrogeologist - Numerical Modeler in Gidahatari / Hatari Labs
- Report this post
An example that demonstrates the Phreeqc and Aquifer App capabilities to model ion exchange:Simple example of ion exchange modeling with Phreeqc and Aquifer App - TutorialGive it a like!https://lnkd.in/e6ehZfie
16
Like CommentTo view or add a comment, sign in
-
Confio GmbH
1,322 followers
- Report this post
Introducing Sylvia 1.0.0!๐With v0.10.0 & this major release, we're thrilled to roll out support for @CosmWasm 2.0.0!๐๐Major features:- Associated types for cleaner generics- Sudo support for seamless execution- Improved errors & Querier implementationhttps://lnkd.in/eKzSfDgT
5
Like CommentTo view or add a comment, sign in
-
- Report this post
๐ข Get ready to celebrate because Sylvia 1.0.0 is here! ๐You can learn more in the Sylvia book and docs! ๐ก
8
Like CommentTo view or add a comment, sign in
-
Innius B.V.
780 followers
- Report this post
Innius' first release of 2024 is here!Read our release notes to learn about further development of the batch reports.#innius #iiotplatform #batchanalysis #smartfactoryhttps://lnkd.in/eWyWkGea
5
Like CommentTo view or add a comment, sign in
-
Lifecycles
2,268 followers
- Report this post
Annnd that's a wrap! Two weeks of packaging and processing conferences have come to a successful close!Our Tim Grant recently had a chat with Lindy Hughsonfrom PKN Packaging News to reflect on how APPEX 2024 has been for PIQET - and the feedback couldn't be more positive. ๐ In this, Tim shares his final message to market: It's crucial for individuals togain a comprehensive understanding of both the environmental advancements and drawbacks in an unbiased manner. It's essential to have a clear grasp of environmental options, considering factors such as packaging type and waste management practices. Context is key. So, let's take a thoughtful approach before we delve into it.Find out more about our streamlined LCA packaging tool here: www.piqet.com
13
Like CommentTo view or add a comment, sign in
-
Pliant.io, an IBM Company
1,981 followers
- Report this post
๐ Say goodbye to just collecting dataโPliant doesn't just report issues, it RESOLVES them.All your monitoring services sync up for end-to-end automation, ensuring your systems work in sync. Receive data from ANY system, ANY event, and let Pliant take intelligent action to automate responses. Our clients experience fewer alerts, tougher IT infrastructure, and real-time runbook automation for network and app glitches!Communication between vital platforms has never been smoother. Upgrade to Pliant and let your monitoring do more ๐ https://lnkd.in/eH_R7pr3#itautomation #orchestration #networkautomation
14
Like CommentTo view or add a comment, sign in
-
Alaeddine Ostorlab
Co-Founder and CEO
- Report this post
There has been some amazing work going on to address Supply Chain Security, one of the most common sources of vulnerabilities.Notably the OWASP SBOM CycloneDX project.In addition to the existing support of extracting dependencies and statically compiled libraries from compiled mobile applications, we have added support for scanning SBOM and a couple of dozen lock file formats.SBOM and lockfile are included in our community scans. You can check the link below on how to generate them and add them to your scans.#owasp #sbom #mobilesecurity
13
Like CommentTo view or add a comment, sign in
-
Polverini and Partners
- Report this post
Need to increase the size of a field in your #IBMi app?Don't get lost in the maze of #propagations, trying to do it manually.Your time means value.Our automated tool #FieldResize will do it for you, including #Validation of all #recompilations and integrating all #Testing scenarios.Book a call:https://lnkd.in/diggC8ec
6
Like CommentTo view or add a comment, sign in
-
Amine Mesbahi
CTO at Ostorlab
- Report this post
Scanning Software Bill of Materials (SBOM) for mobile apps is crucial in ensuring their security and reliability. Ostorlab now supports uploading SBOM and Lock files for extended dependency detection.For more details on how to get started, check out our documentation. https://lnkd.in/eE3ZjRCj#sbom #supplychainsecurity #mobilesecurity
3
Like CommentTo view or add a comment, sign in
5,561 followers
- 179 Posts
- 4 Articles
View Profile
FollowMore from this author
- IRB models uncertainty and conformal inference Andrija Djurovic 7mo
- IRB model calibration Andrija Djurovic 7mo
- Selective use of machine learning for IRB models Andrija Djurovic 8mo
Explore topics
- Sales
- Marketing
- Business Administration
- HR Management
- Content Management
- Engineering
- Soft Skills
- See All