Since the development of the first credit portfolio models at the end of the last century (eg, CreditMetrics by JP Morgan and CreditRisk+ by Credit Suisse First Boston), the estimation of correlation ...
X ij = [x ij1, ... , x ijp]' The Generalized Estimating Equation of Liang and Zeger (1986) for estimating the p ×1 vector of regression parameters is an extension of the independence estimating ...
NEW YORK & LONDON--(BUSINESS WIRE)--A new report by Fitch demystifies the Basel II treatment of asset correlation and provides original empirical analysis of the correlation values assumed under the ...
High correlation in failure of information systems due to worms and viruses has been cited as major impediment to cyber-insurance. However, of the many cyber-risk classes that influence failure of ...
New correlations provide modified black-oil (MBO) pressure-volume-temperature (PVT) properties when fluid samples are unavailable. One can use the correlations in generalized material balance ...
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