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The main goal of this paper is to investigate the presence of jumps in Shanghai Inter-bank Offered Rate (SHIBOR), which is Chinese money market benchmark interest rate, and compare interest rate models of SHIBOR based on MCMC Method. Although SHIBOR has become an important interest rate, on which a lot of derivatives underlie, it is less studied. The Markov Chain Monte Carlo method is applied to analyze...
In general, credit-scoring models suffer from a sample-selection bias. This paper uses the bivariate probit approach to estimate an unbiased models scoring model. The data set with large commercial loans data provided by a commercial bank of China to estimate the model contains some financial and firm information on both rejected and approved applicants. In the bivariate probit model, we find a significant...
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