Risk

The distribution of defaults and Bayesian model validation

Quantitative rating systems are increasingly being used for the purposes of capital allocation and pricing credits. For these purposes, it is important to validate the accuracy of the probability of ...
Risk

Robust financial calibration: a Bayesian approach for neural stochastic differential equations

The paper presents a Bayesian framework for the calibration of financial models using neural stochastic differential equations (neural SDEs), for which we also formulate a global universal ...
Scientific American

What is Bayes's theorem, and how can it be used to assign probabilities to questions such as the existence of God? What scientific value does it have?

Chris Wiggins, an associate professor of applied mathematics at Columbia University, offers this explanation. A patient goes to see a doctor. The doctor performs a test with 99 percent ...
Inverse

Make Better Decisions With Bayesian Probability, the Smart Way to Consider Risk

It’s estimated that human adults make about 35,000 decisions a day — the percentage of good decisions depends on the adult. These choices can be as banal as deciding to roll or crumple toilet paper or ...