Coefficient of variation (CV) plays an important role in statistical practice; however, its sampling distribution may not be easy to compute. In this paper, the distributional properties of the sample ...

Although the literature about measuring probability of default (PD) in retail credit portfolios is vast, the same thing cannot be said about measuring exposure at default (EAD). This paper aims to ...

Appropriate modeling of time-varying dependencies is very important for quantifying financial risk, such as the risk associated with a portfolio of financial assets. Most of the papers analyzing ...