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Research
Mathematically derived variations of a model that takes as inputs both historical data and any prior information that the user might have about the linear relationships between the means of different populations. It outputs posterior means, posterior covariance and possible percentage weights for each population. The models maximize the posterior mean, minimize the posterior covariance and the Bayesian risk.
For a little more information please visit the pages under this one, which is called "Research".
Master's Research
Discrete dynamic models for the default risk of inter-banking networks.
Given a network of banks, this paper models the time until the first one defaults, probabilities that each one defaults and even conditional probabilities.
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