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 ...
Abstract. In this paper, we present the explicit expression for the group inverse of the sum of two matrices. As an application, the explicit expression for the group ...
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