A new method for estimating value-at-risk of Brady bond portfolios.
Ron D'VariJuan C. SosaPublished in: CIFEr (1999)
Keyphrases
- cost function
- data sets
- high precision
- synthetic data
- detection method
- preprocessing
- experimental evaluation
- computational cost
- clustering method
- support vector machine
- mutual information
- decision making
- optimization algorithm
- theoretical analysis
- classification accuracy
- pairwise
- em algorithm
- input data
- support vector machine svm
- edge detection
- significant improvement
- similarity measure
- fully automatic
- evaluation method