Mathematics – Statistics Theory
Scientist
Mathematics
Statistics Theory
Scientist
A Fast Algorithm for Computing Expected Loan Portfolio Tranche Loss in the Gaussian Factor Model
Fast Computation Of the Economic Capital, the Value at Risk and the Greeks of a Loan Portfolio in the Gaussian Factor Model
Fast Computation of the Expected Loss of a Loan Portfolio Tranche in the Gaussian Factor Model: Using Hermite Expansions for Higher Accuracy
Necessary And Sufficient Conditions For Existence of the LU Factorization of an Arbitrary Matrix
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