Hi All, When using markov chains it is usualy assumed that it has an absorbing state (aka default). I wonder why this is needed? I know that it is neccessary to have a unique stationary distribution, but are there other considerations as well? Besides it is not a valid assumption in practice (eg Bas...

I get it. Don't bother.

<t>Dear All,Given the 1-year default probabilities for each rating class [$] p_r ,r \in (A,B,C,D)[$] (for simplicity I assume 4 rating classes with D for default state), I would like to calculate T-year long default probabilities (i.e. [$]p_r^{(T)}=P(customer \; defaults \; in \; T \; years)[$]). Fo...

Thanks for both of you.

<t>Hi,Is it a bad idea when asking for expected salary to mention that the amount I ask is based on how much people make on the department I would work at and their experience (I happen to know that for being friends with a couple of them), and it would ensure to avoid salary tension or discepancy (...

Thank you so much for the "but..."

Thanx. I've been trying these, just can't match the integration limit.

Hi,Can some show how to prove this:[$]f(t)=\int_{t}^{+\infty}g(x)/x dx[$] then its Laplace transform: [$]L[f](s)=\frac{1}{s}\int_{0}^{s}L[g](y) dy[$]Thanks a lot.

Hi all,Any has this paper: Tchistiakov, Hoogbruin (2004): A credit loss control variable.I would be graceful for sending it to me.Thanx in advance,A

Banking sandwich men are in great demand in Budapest now

<t>My 2centsB2 works, but it is not supposed to / can protect banks from default when the sky falls:1, If it was calibrated so as to prescribe capital enough to cover loss that occures in every hundred years or so, the profitablility of banks would not allow them to pay the B2 consultants.2, PDs, LG...

SAS Base is not allowed to download from thepiratebay.org either

How about ACIIA?

<t>It's a pretty good intorductory book. No grad math is required, only some basic calculus, prob theory and stoch processes (no martingals, PDE's). It also gives a clear intuition behind the ideas of the basic portfolio models. It certainly doesn't provide full insight to these models and is restri...

Dear All,I'm desperately looking for the following paper: Kibzun A.I. and S. Uryasev. (1998) Differentiability of Probability Functions. Stochasticic Analysis and Applications. 16(6)Any can help me?Thanx