IIMK RESEARCH SEMINAR BY PROF. PULAK GHOSH

Prof. Pulak Ghosh of IIM Bangalore delivered a very interesting talk entitled “Frailty Survival Model : some applications in Finance” at IIMK today. According to Prof. Ghosh, survival analysis is generally defined as a set of methods for analyzing data where the outcome variable is the time until the occurrence of an event of interest.
The event can be death of a fund, occurrence of a merger, default, etc. The time to event or survival time can be measured in days, weeks, years, etc.  In the most general sense, it consists of techniques for positive valued random variables. Typically, survival data are not fully observed, but rather are censored. In survival analysis, subjects are usually followed over a specified time period and the focus is on the time at which the event of interest occurs. This particular aspect of modeling is becoming an area of active research to answer important questions in finance. In the talk he introduced some problems and then showed how survival analysis helps us in answering important questions. Special emphasis was given on loss prediction, mergers and modeling probability of default. A special emphasis was also given on introducing the audience to survival analysis.