Statistics and Risk Management and MMA AEIO and MMA Financial Mathematics Seminar - 3/9/2015

Thursday, 3 September 2015, 4:00 p.m.

Lecturer: Professor Gonçalo dos Reis, Assistant Professor at Edinburgh University, UK and researcher as collaborator at CMA-FCT-UNL

Title: "The EM Algorithm with Applications to a Banking problem"

Local: Room 1.6, Edifício VII

Faculdade de Ciências e Tecnologia, Quinta da Torre, Caparica

Abstract: In this talk we overview a sequence of algorithms to solve the so-called intermediary Transition Probability Matrix (TPM) estimation. Special attention is given to the EM algorithm.

TPM matrices are widely used by the banking industry in the estimation of portfolio losses under the possibility of counter-party default and are a cornerstone in the computation of regulator demanded Risk Charges.