15.S12  SSIM: Practice of Finance: Applied Credit Risk Management (H2)

Final Exam

Hi everyone,

There was a question yesterday as to which of the articles are more helpful to prepare for the final exam. It might be helpful if you re-read the following:

Friedman, Hastie and Tibshirani (2013), Elements of Statistical Learning, Section 9.2, pp. 305-311

Stein, R. M. 2013. “The role of stress testing in credit risk management.” Journal of Investment Management. 10. 4.

Van de Castle, K., D. Keisman and R. Yang ”Suddenly Structure Mattered: Insights into Recoveries from Defaulted Debt”

Also as a reminder, the final will take place Tuesday December 17th from 9AM-12PM in room E51-395.

Good luck!

Santiago

Announced on 12 December 2013  10:23  a.m. by Santiago Miguel Arias Duval

Project Reminder

Hi,

The modeling project was due today at noon. If you have not emailed me your project please do so ASAP. Please remember that the assignment includes your slides, the source code you used to estimate your model, source code that takes an input file and returns a PD, and a file containing the PDs for the holdout sample.

Thanks,

Santiago

Announced on 10 December 2013  12:31  p.m. by Santiago Miguel Arias Duval

Row names

Hi,
To extract the row names from bankdata.val you can use the function row.names(bankdata.val). You can then feed it to the data.frame() function so that your PDs are alingned with the row names. If you are nor comfortable doing this, please just create a new column called PDResults and append it to bankdata.val.

Sorry for the confusion.

Regards,

Santiago

Announced on 10 December 2013  2:21  a.m. by Santiago Miguel Arias Duval

Project Question about record number

Hi,

A couple of students asked what to use for record number. The row.name column which contains the row numbers should be used. Please let me know if you have any questions.

Regards,

Santiago

Announced on 10 December 2013  1:26  a.m. by Santiago Miguel Arias Duval

Data Corrected

Hi everyone,

The correct data has been uploaded. Sorry for the mix-up.

Regards,

Santiago

Announced on 09 December 2013  5:39  p.m. by Santiago Miguel Arias Duval