Under the CreditPortfolio View approach to credit risk modeling, which of the following best describes the conditional transition matrix:
For EVT, we use the block maxima or the peaks-over-threshold methods. These provide us the data points that can be fitted to a GEV distribution.
Least squares and maximum likelihood are methods that are used for curve fitting, and they have a variety of applications across risk management.
Antonio
3 days agoYuette
4 days agoRuthann
8 days agoAntonio
9 days ago