55 Water Street
New York, NY 10041
United States
Standard & Poor's - Quantitative Analytics
Minimum Relative U−Entropy, Conditional Probability Distribution, Fat-tailed, Power-Law Distribution, Heteroskedastic, Financial Data, Asset Returns
Transition probability model, side information, information value decay, credit model, hazard rate model, default probability model, rating transition model, information theory, minimumrelative entropy principle, conditional relative entropy, robust model
Minimum Relative U−Entropy, Probability Distribution, Fattailed, Power-Law Distribution, Financial Data, Asset Returns
Minimum Relative U-Entropy, Weighted Monte Carlo, Option Pricing, Swaptions, Equity Index Options, Student-t distributions, Fat-tailed distributions
Missing Variable Imputation, Generalized T-Distribution, Arellano-Valle and Bolfarine’s Generalized T−Distribution, Copula, Mixture Models, Quadrature
scenario simulation, stress scenarios, copula models, Basel II and Basel III, loss scenarios, mean center methods, large portfolios, financial systems, sector-specific risk, model misspecification risk
Copula, Conditional Probability Density, Gaussian Mixture Model, t−Mixture Model, Multivariate Probability Distribution, Multivariate t−Distribution, Arellano-Valle and Bolfarine’s Generalized t−distribution, Fat-Tailed, Simulation, Stock Return Distribution, Financial Data, Economic Data
Kullback-Leibler relative entropy, maximum likelihood, probability distribution, fat-tailed, point mass, stock return distribution, stock index return distribution, financial data, economic data, California Housing Data
