112 citations
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Showing 2004Show all
2 papers · 1 filter
cond-mat.other2004★ 103 cited
Detecting a Currency's Dominance or Dependence using Foreign Exchange Network Trees
Mark McDonald, Omer Suleman, Stacy Williams +2
In a system containing a large number of interacting stochastic processes, there will typically be many non-zero correlation coefficients. This makes it difficult to either visuali…
cond-mat.other2004
Estimating Probabilities of Default for Low Default Portfolios
Katja Pluto, Dirk Tasche
For credit risk management purposes in general, and for allocation of regulatory capital by banks in particular (Basel II), numerical assessments of the credit-worthiness of borrow…