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Asymptotic behaviour of multivariate default probabilities and default correlations under stress.

Natalie PackhamMichael KalkbrenerLudger Overbeck
Published in: J. Appl. Probab. (2016)
Keyphrases
  • probability distribution
  • expected values
  • neural network
  • real world
  • decision making
  • regression model
  • spatial correlation
  • nonmonotonic inference
  • real time
  • databases
  • feature selection
  • bayesian networks
  • default rules