This paper shows how to generate the joint distribution of correlated random variables with specified marginal distributions. For cases where the marginal distributions are either normal or lognormal, it shows how to calculate analytically the correlation of the underlying normal distributions...

In optimization problems appearing in fields such as economics, finance, or engineering, it is often important that a risk measure of a decision-dependent random variable stays below a prescribed level. At the same time, the underlying probability distribution determining the risk measure's...

This paper investigates the counterparty credit risk of interest rate swaps positions using the credit valuation adjustment (CVA) measure, and examines the potential dependency relationships between the probability of default (PD) and exposure at default (EAD). We empirically tested, using...

This paper introduces a new family of Generalized Hyper-Elliptical (GHE) distributions providing further generalization of the generalized hyperbolic (GH) family of distributions, considered in Ignatieva and Landsman. The GHE family is constructed by mixing a Generalized Inverse Gaussian (GIG)...