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~isPartOf:"IMF working paper"
~isPartOf:"INFORMS journal on computing : JOC"
~subject:"Kreditrisiko"
~subject:"Schätztheorie"
~subject:"Statistical distribution"
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1
Worst-case expected shortfall with univariate and bivariate marginals
Dhara, Anulekha
;
Das, Bikramjit
;
Natarajan, Karthik
- In:
INFORMS journal on computing : JOC
33
(
2021
)
1
,
pp. 370-389
Persistent link: https://www.econbiz.de/10012496433
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2
Estimating the probability that a function observed with noise is convex
Jian, Nanjing
;
Henderson, Shane G.
- In:
INFORMS journal on computing : JOC
32
(
2020
)
2
,
pp. 376-389
Persistent link: https://www.econbiz.de/10012242767
Saved in:
3
An approximation approach for response-adaptive clinical trial design
Ahuja, Vishal
;
Birge, John R.
- In:
INFORMS journal on computing : JOC
32
(
2020
)
4
,
pp. 877-894
Persistent link: https://www.econbiz.de/10012390169
Saved in:
4
Multivariate mixtures of normal distributions : properties, random vector generation, fitting, and as models of market daily changes
Wang, Jin
;
Taaffe, Michael R.
- In:
INFORMS journal on computing : JOC
27
(
2015
)
2
,
pp. 193-203
Persistent link: https://www.econbiz.de/10011291337
Saved in:
5
Constructing discrete unbounded distributions with Gaussian-copula dependence and given rank correlation
Avramidis, Athanassios N.
- In:
INFORMS journal on computing : JOC
26
(
2014
)
2
,
pp. 269-279
Persistent link: https://www.econbiz.de/10010362443
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6
Fundamentals-based estimation of default probabilities : a survey
Chan-Lau, Jorge A.
-
2006
Persistent link: https://www.econbiz.de/10003354354
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7
Market-based estimation of default probabilities and its application to financial market surveillance
Chan-Lau, Jorge A.
-
2006
Persistent link: https://www.econbiz.de/10003329109
Saved in:
8
Efficient correlation matching for fitting discrete multivariate distributions with arbitrary marginals and normal-copula dependence
Avramidis, Athanassios N.
;
Channouf, Nabil
;
L'Ecuyer, Pierre
- In:
INFORMS journal on computing : JOC
21
(
2009
)
1
,
pp. 88-106
Persistent link: https://www.econbiz.de/10003896670
Saved in:
9
Fundamentals-Based Estimation of Default Probabilities : A Survey
Chan-Lau, Jorge A
-
2006
Intro -- Contents -- I. INTRODUCTION -- II. MACROECONOMIC-BASED MODELS -- III. CREDIT SCORING (OR ACCOUNTING-BASED) MODELS -- IV. RATINGS-BASED MODELS -- V. HYBRID MODELS -- VI. CONCLUSIONS -- REFERENCES.
Persistent link: https://www.econbiz.de/10012691085
Saved in:
10
Market-Based Estimation of Default Probabilities and Its Application to Financial Market Surveillance.
Chan-Lau, Jorge A
-
2006
Intro -- Contents -- I. MARKET-BASED DEFAULT PROBABILITIES AND FINANCIAL SURVEILLANCE -- II. CREDIT DEFAULT SWAPS -- III. BONDS -- IV. EQUITY PRICES -- V. FROM RISK-NEUTRAL PROBABILITIES TO REAL-WORLD PROBABILITIES -- VI. CONCLUSIONS -- REFERENCES.
Persistent link: https://www.econbiz.de/10012691108
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