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 ...

A k-variate Bernoulli distribution with k + 1 parameters is obtained as a shock model in which shocks are fatal to single components only or to all components simultaneously in a k-component system.

This is a preview. Log in through your library . Abstract In a linear (or affine) functional model the principal parameter is a subspace (respectively an affine subspace) in a finite dimensional inner ...

To assess the overall credit risk of a portfolio, it is important to consider the risk correlation between the counterparties (obligors) in addition to their individual credit risks. However, the ...