13 search results - page 3 / 3 » Sampling Archimedean copulas |
IOR
2010
14 years 7 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...
IOR
2008
14 years 10 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...
ORDER
2002
14 years 9 months ago
2002
For a given class T of compact Hausdorff spaces, let Y(T ) denote the class of -groups G such that for each g G, the Yosida space Y (g) of g belongs to T . Conversely, if R is a c...