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Efficient algorithms for calculating risk measures and risk contributions in copula credit risk models

Huang, Zhenzhen; Kwok, Yue-Kuen; Xu, Ziqing - In: Insurance : mathematics and economics 115 (2024), pp. 132-150

Persistent link: https://www.econbiz.de/10015066737

Efficient risk measures calculations for generalized CreditRisk+ models

Huang, Zhenzhen; Kwok, Yue-Kuen - In: International journal of theoretical and applied finance 24 (2021) 2, pp. 1-51

Persistent link: https://www.econbiz.de/10012650350

Analysis of optimal dynamic withdrawal policies in withdrawal guarantee products

Huang, Yao Tung; Kwok, Yue-Kuen - In: Journal of economic dynamics & control 45 (2014), pp. 19-43

Persistent link: https://www.econbiz.de/10010474467

Transfer-matrix renormalization group method for general Markov random fields

Huang, Yu-Kun; Yu, Sung-Nien - In: Physica A: Statistical Mechanics and its Applications 390 (2011) 5, pp. 801-810

We seek the numerical calculation of partition functions of general Markov random fields (MRFs) on an infinitely long twisted cylindrical lattice by using the transfer-matrix renormalization group (TMRG) method. The TMRG is a variant of the density-matrix renormalization group (DMRG) which...

Persistent link: https://www.econbiz.de/10011064501

Asymptotics of the partition function of a general Markov random field on an infinite rectangular lattice

Huang, Yu-Kun; Yu, Sung-Nien - In: Physica A: Statistical Mechanics and its Applications 389 (2010) 4, pp. 736-746

We investigate theoretically and numerically the asymptotics of the partition function of a general Markov random field (MRF) on an infinite rectangular lattice. We first propose the general local energy function (LEF)-parameterized MRF. Then we prove that the thermodynamic limit of the free...

Persistent link: https://www.econbiz.de/10010590673