The limit behavior of the optimal bandwidth sequence for the kernel distribution function estimator is analyzed, in its greatest generality, by using Fourier transform methods. We show a class of distributions for which the kernel estimator achieves a first-order improvement in efficiency over...

The goal of the paper is the numerical analysis of the performance of Monte Carlo simulation based methods for the computation of credit-portfolio loss-distributions in the context of Markovian intensity models of credit risk. We concentrate on two of the most frequently touted methods of...

The paper deals with random vectors in , possessing the stochastic representation , where R is a positive random radius independent of the random vector and is a non-singular matrix. If is uniformly distributed on the unit sphere of , then for any integer m<d we have the stochastic representations and , with W>=0, such that W2 is a beta distributed...</d>