4 papers
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…
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…
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…
Two maxentropic approaches to determine the probability density of compound risk losses
Erika Gomes-Gonçalves, Henryk Gzyl, Silvia Mayoral
Here we present an application of two maxentropic procedures to determine the probability density distribution of compound sums of random variables, using only a finite number of e…