140 search results - page 1 / 28 » Efficient estimation of a semiparametric dynamic copula mode... |
CSDA
2010
13 years 5 months ago
2010
IOR
2008
13 years 4 months ago
2008
We consider the risk of a portfolio comprised of loans, bonds, and financial instruments that are subject to possible default. In particular, we are interested in performance meas...
NIPS
2008
13 years 6 months ago
2008
The coding of information by neural populations depends critically on the statistical dependencies between neuronal responses. However, there is no simple model that can simultane...
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...
IOR
2010
13 years 2 months ago
2010
Reliable risk measurement is a key problem for financial institutions and regulatory authorities. The current industry standard Value-at-Risk has several deficiencies. Improved ri...