Random sampling from a multivariate normal distribution is essential for Monte Carlo simulations in many credit risk models. For a portfolio of N obligors, standard methods usually require O(N2) ...
specifies a data set to use in providing a general covariance matrix for the runs. The argument to VAR= names the variables in this data set that contain the columns of the covariance matrix for the ...
This is a preview. Log in through your library . Abstract In this paper, we give expressions for the generalized Drazin inverse of a (2,2,0) block matrix over a Banach algebra under certain ...
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