In this paper, we demonstrate the superiority of vine copulas over conventional copulas when
modeling the dependence structure of a credit portfolio. We show statistical and economic …

This paper contributes to the literature about estimating asset correlation in two ways. First,
we compare the performance of different estimation approaches in a simulation study. By …

This article examines a crucial source of specification risk when calibrating a typical industry-type,
Merton-based credit portfolio model. It emerges from the necessity of having to choose …

We have studied the photodissociation dynamics of expansion-cooled IO radicals at 454.9nm,
corresponding to the A 2 Π 3/2 –X 2 Π 3/2 (1–0) bandhead, using velocity map ion imaging…

We have extended our investigation of the v′-dependent predissociation dynamics of the
ClO A2Π3/2 state using velocity-map ion imaging. Correlated fine-structure branching ratios …

The regulated control of pollutants is essential to maintaining good air quality in urban areas.
A major concern is the formation of tropospheric ozone, which can be especially harmful to …

… Geidosch, JN; Frantzen, M; Bevan, JW …

… Michael P Grubb, KS Dooley, JN Geidosch, M van Beek, Gerrit C. Groenenboom, SW North …

To model the Exposure At Default (EAD) of revolving credit facilities, such as credit cards,
most of the research thus far has employed point estimation approaches, focusing on the …