Ito’s Lemma or Ito’s Formula for diffusion- Changes in a variable such as stock price involve a deterministic component function of time and a stochastic component which depends upon a random variable.
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R3 chase - Pursuit
Huber M-estimation (CCF for EAD):
Huber M-estimation is a robust regression technique used to address the influence of outliers on model parameters. It is used to calculate...
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Excel (Macro enable workbook) and VBA code: https://drive.google.com/drive/folders/18tIKLLg8MfJ2MYDjLPAWHspEbApVIpGz?usp=sharing PCA: Eige...
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Modeling Low Default Portfolio (Independent Default Events): Pluto and Tasche method for calculating probability of default for portfolios... -
Modeling Low Default Portfolio Dependent Case: VASCIEK MODEL: Dependence between the default is explained by by Vasicek model. By using co...
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