The probability distribution of the number of defaults plays an important role in pricing problems of multiple-name credit derivatives. When the group size gets large, it becomes increasingly ...
The Canadian Journal of Statistics / La Revue Canadienne de Statistique, Vol. 16, No. 4 (Dec., 1988), pp. 399-409 (11 pages) Recursive estimates fn (r)(x) of the rth derivative f(r)(x)(r=0,1) of the ...
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