CL. de Madrid 126
Madrid, Madrid 28903
Universidad Carlos III de Madrid
Zero Coupon Bond Prices, Short Rate Model Calibration, Maximum Entropy in the Mean, Non-Parametric Method
loss distributions, sample dependence, maximum entropy
Loss data analysis, loss data aggregation, loss data disaggregation, sample dependence of loss distributions, sample dependence of risk premia, maximum entropy method
density reconstruction; error estimation; maximum entropy
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loss distributions, sample dependence of loss distributions, sample dependence of risk premiums, Laplace transforms, fractional moments, maximum entropy
File name: SSRN-id2795025.pdf
loss data analysis, loss aggregation, maximum entropy method, density reconstruction,regulatory capital, operational risk
Inefficient quotes, Bid-ask spread, Law of one price, Index options
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