3 papers
q-fin.CP2025
Determining a credit transition matrix from cumulative default probabilities
Henryk Gzyl, Silvia Mayoral
To quantify the changes in the credit rating of a bond is an important mathematical problem for the credit rating industry. To think of the credit rating as the state a Markov chai…
math.ST2023
Prediction and estimation of random variables with infinite mean or variance
Victor de la Pena, Henryk Gzyl, Silvia Mayoral +2
In this paper we propose an optimal predictor of a random variable that has either an infinite mean or an infinite variance. The method consists of transforming the random variable…
q-fin.RM2022
Tail Risk of Electricity Futures
Juan Ignacio Peña, Rosa Rodriguez, Silvia Mayoral
This paper compares the in-sample and out-of-sample performance of several models for computing the tail risk of one-month and one-year electricity futures contracts traded in the…