14 search results - page 2 / 3 » A large deviations view of asymptotic efficiency for simulat... |
EOR
2010
13 years 5 months ago
2010
We consider the problem of accurately measuring the credit risk of a portfolio consisting of loans, bonds and other financial assets. One particular performance measure of interes...
TOMACS
2002
13 years 5 months ago
2002
In this paper we consider a two-node tandem Jackson network. Starting from a given state, we are interested in estimating the probability that the content of the second buffer exc...
IOR
2008
13 years 5 months ago
2008
This paper develops rare event simulation methods for the estimation of portfolio credit risk -- the risk of losses to a portfolio resulting from defaults of assets in the portfol...
CSDA
2010
13 years 5 months ago
2010
Confirmatory factor analysis (CFA) is a data anylsis procedure that is widely used in social and behavioral sciences in general and other applied sciences that deal with large qua...
CORR
2008
Springer
13 years 5 months ago
2008
Springer
The behavior of some stochastic chemical reaction networks is largely unaffected by slight inaccuracies in reaction rates. We formalize the robustness of state probabilities to re...