The probability distribution of the number of defaults plays an important role in pricing problems of multiple-name credit derivatives. When the group size gets large, it becomes increasingly ...

This is a preview. Log in through your library . Publisher Information The purpose of the Institute of Mathematical Statistics (IMS) is to foster the development and dissemination of the theory and ...

The purpose of the Institute of Mathematical Statistics (IMS) is to foster the development and dissemination of the theory and applications of statistics and probability. The Institute was formed at a ...