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We cionsider semiparmetric assymetric kernel density estimators when the unkonwn density has support on [0,∞). We provide a unifying framework which contains assymmetric kernel versions of several semiparametric density estimators considered previously in the literature. This framework allows...
Persistent link: https://www.econbiz.de/10005858393
calculating the risk figures of a typical medium-sized credit risk portfolio with 2000 obligors. Simulating the tail of the loss … the application of stochastic approximation methods in risk management.Keywords …
Persistent link: https://www.econbiz.de/10005858875