An important part of the marginal maximum likelihood method described previously is the computation of the integral over the random effects. The default method in PROC NLMIXED for computing this ...
In this paper we consider the large homogeneous portfolio (LHP) approximation with a two-factor Gaussian copula and random recovery rate. In addition, we assume that the earlier the default occurs, ...
Stein's method has emerged as a powerful and versatile tool in probability theory for deriving error bounds in distributional approximations. Originally developed to ...
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