Modelling probabilities of corporate default

This dissertation follows, scrupulously, the probability of default model used by the National University of Singapore Risk Management Institute (NUS-RMI). Any deviations or omissions are noted with reasons related to the scope of this study on modelling probabilities of corporate default of South African firms. Using our model, we simulate defaults and subsequently, infer parameters using classical statistical frequentist likelihood estimation and one-world-view pseudo-likelihood estimation. We improve the initial estimates from our pseudo-likelihood estimation by using Sequential Monte Carlo techniques and pseudo-Bayesian inference. With these techniques, we significantly improve upon our original parameter estimates. The increase in accuracy is most significant when using few samples which mimics real world data availability

Grantor

African Institute of Financial Markets and Risk Management

Year dc:date.issued

2019

Author dc:creator

• Van Jaarsveldt, Cole

Advisor dc:contributor.advisor

• Mahomed, Obeid

• Mathematical Finance

Handle dc:identifier.uri

http://hdl.handle.net/11427/31331

OAI identifier oai:identifier

oai:open.uct.ac.za:11427/31331