A random sample of curves can be usually thought of as noisy realisations of a compound stochastic process X(t) = Z{W(t)}, where Z(t) produces random amplitude variation and W(t) produces random ...

The challenge of using small sample sizes for operational risk capital models fitted via maximum likelihood estimation is well recognized, yet the literature generally provides warning examples rather ...

In certain multivariate problems the full probability density has an awkward normalizing constant, but the conditional and/or marginal distributions may be much more tractable. In this paper we ...

In the process of loan pricing, stress testing, capital allocation, modeling of probability of default (PD) term structure and International Financial Reporting Standard 9 expected credit loss ...

This example calculates confidence intervals based on the profile likelihood for the parameters estimated in the previous example. The following introduction on profile-likelihood methods is based on ...