Essays about: "transition probabilities"
Showing result 11 - 15 of 34 essays containing the words transition probabilities.
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11. Jump Estimation of Hidden Markov Models with Time-Varying Transition Probabilities
University essay from Lunds universitet/Matematisk statistikAbstract : The Hidden Markov model is applicable to a wide variety of fields. Applied to financial time series, its assumed underlying state sequence can reflect the time series' tendency to behave differently over different periods of time. In many situations, models could be improved by including exogenous data. READ MORE
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12. Occupations under threat: Estimating the impact of automation on the Swedish labour market
University essay from Handelshögskolan i Stockholm/Institutionen för nationalekonomiAbstract : Building upon research which estimates the risk of automation for different occupational categories labour market outcomes of workers switching occupation due to automation is estimated using a data driven occupational mobility model. Models of this kind are constructed using network theory, agent based modelling and, a large data set, and have proven to be useful in analysing flows in the labour market to understand aggregate phenomena such as the Beveridge curve. READ MORE
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13. Transition Matrices Conditional on Macroeconomic Cycles: A Portfolio Stress-Test Application
University essay from Göteborgs universitet/Graduate SchoolAbstract : Transition matrices show the probabilities of credit rating migrations for a pool of ratings within a particular industry, geographical area, time-horizon, etc. Regulation, in the form of Basel accords, has opted for standards in banking that among other techniques use transition matrices, and thus the probability of default, for internally-based risk-assessment, as well as incorporating the external credit rating in the capital requirement calculation. READ MORE
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14. The effect of behavioural changes over time on Cox proportional hazards estimates
University essay from Lunds universitet/Statistiska institutionenAbstract : This thesis considers bias when studying behaviours in a Cox proportional hazards model. In Cox proportional hazards regressions and cohort studies in general, measurements are often made during a limited period of time. READ MORE
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15. Asset-Liability Management with in Life Insurance
University essay from KTH/Matematisk statistikAbstract : In recent years, new regulations and stronger competition have further increased the importance of stochastic asset-liability management (ALM) models for life insurance firms. However, the often complex nature of life insurance contracts makes modeling to a challenging task, and insurance firms often struggle with models quickly becoming too complicated and inefficient. READ MORE
