Search Results - subject:"Saddlepoint approximation"

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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

The empirical saddlepoint estimator

Holcblat, Benjamin; Sowell, Fallaw - 2019

Persistent link: https://www.econbiz.de/10012233215

Nonparametric estimation of systemic risk via conditional value-at-risk

Belhad, Ahmed; Lauria, Davide; Trindade, A. Alexandre - In: Journal of risk 25 (2022) 1, pp. 1-21

Persistent link: https://www.econbiz.de/10013549675

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

On the empirical saddlepoint approximation with application to asset pricing

Holcblat, Benjamin - 2015

consumption-based asset pricing. This paper establishes novel theoretical results for the ESP (empirical saddlepoint …) approximation, and then use them to investigate this instability. We prove that there exists an intensity distribution of the …

Persistent link: https://www.econbiz.de/10012064363

On Distributions of Ratios

Broda, Simon A.; Kan, Raymond - 2014

A large number of exact inferential procedures in statistics and econometrics involve the sampling distribution of ratios of random variables. If the denominator variable is positive, then tail probabilities of the ratio can be expressed as those of a suitably defined difference of random...

Persistent link: https://www.econbiz.de/10010328339