A Type 3 analysis is similar to the Type III sums of squares used in PROC GLM, except that likelihood ratios are used instead of sums of squares. First, a Type III estimable function is defined for an ...
In operational risk measurement, the estimation of severity distribution parameters is the main driver of capital estimates, yet this remains a nontrivial challenge for many reasons. Maximum ...
Two forms of CoVaR have recently been introduced in the literature for measuring systemic risk, differing on whether or not the conditioning is on a set of measure zero. We focus on the former, and ...
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