RMBI 4210 Quantitative Methods for Risk Management
Tutorial 7 Mixture model for modeling default correlation Bernuolli mixture model
A Bernoulli distribution models a process where each sample has probability p of coming out as 1 and probability 1-p of coming out as 0.
*Understand the derivation of first and second order moments of L
One-factor Bernuolli mixture model (single random default probability p ~ F, such as beta distribution)
*Howtorepresent𝑃 𝐿=𝑘 ,𝐸 𝐿( ,𝜌,𝐸 𝐿(,𝐿* ,𝐸 𝐷, ,𝑣𝑎𝑟 𝐷, ,etc. *Pros and Cons of Mixture model
HW Q24 , Q26
Spring, 2021 Wang Jingjing
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