Despite growing interest in the use of complex models, such as machine learning (ML) models, for credit underwriting, ML models are difficult to interpret, and it is possible for them to learn ...

Modeling counterparty risk is computationally challenging because it requires the simultaneous evaluation of all trades between each counterparty under both market and credit risk. We present a ...

A new analysis of the Hubble constant to show that the Gaussian Processes data reconstruction technique may not actually be independent of all cosmological models -- and that it may be time to ...

We propose an affine extension of the linear Gaussian term structure model (LGM) such that the instantaneous covariation of the factors is given by an affine process on semidefinite positive matrixes.