Risk

Applying the zero-adjusted inverse Gaussian model to predict probability of default and exposure at default for a credit card portfolio

Although the literature about measuring probability of default (PD) in retail credit portfolios is vast, the same thing cannot be said about measuring exposure at default (EAD). This paper aims to ...
JSTOR Daily

An Exact Chi-Squared Decomposition Theorem for Inverse Gaussian Variates

It is proved that the scaled deviance of an inverse Gaussian sample of size n can be expressed as a sum of n - 1 independent chi-square variates. Applications to prediction intervals and squared ...
Risk

A simple normal inverse Gaussian-type approach to calculate value-at-risk based on realized moments

Expanding the realized variance concept through realized skewness and kurtosis is a straightforward process. We calculate one-day forecasts for these moments with a simple exponentially weighted ...
JSTOR Daily

K-Sample Likelihood Ratio Tests on the Inverse-Gaussian Distribution

Journal of the Royal Statistical Society. Series D (The Statistician) The Statistician joined the Journal of the Royal Statistical Society as its Series D from the journal of the Institute of ...