The Canadian Journal of Statistics / La Revue Canadienne de Statistique, Vol. 16, No. 4 (Dec., 1988), pp. 399-409 (11 pages) Recursive estimates fn (r)(x) of the rth derivative f(r)(x)(r=0,1) of the ...
The probability distribution of the number of defaults plays an important role in pricing problems of multiple-name credit derivatives. When the group size gets large, it becomes increasingly ...
We analyse the performance of a recursive Monte Carlo method for the Bayesian estimation of the static parameters of a discrete-time state-space Markov model. The algorithm employs two layers of ...
How does one conclude which solution to the recurrence relation gives the correct probability (both in this case and generally)? Translating the recursive procedure into the recurrence relation must ...
You are currently accessing Risk.net via your Enterprise account. If you already have an account please use the link below to sign in. If you have any problems with your access or would like to ...
Some results have been hidden because they may be inaccessible to you
Show inaccessible results
Feedback