42 citations · 163 across the 14 of their papers we have counts for
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q-fin.RM2010
Markov chain Monte Carlo estimation of default and recovery: dependent via the latent systematic factor
Xiaolin Luo, Pavel V. Shevchenko
It is a well known fact that recovery rates tend to go down when the number of defaults goes up in economic downturns. We demonstrate how the loss given default model with the defa…
math.NA2010
A Short Tale of Long Tail Integration
Xiaolin Luo, Pavel V. Shevchenko
Integration of the form , where is either or , is widely encountered in many engineering and scie…
physics.geo-ph2010★ 28 cited
Constraining the shape of a gravity anomalous body using reversible jump Markov chain Monte Carlo
Xiaolin Luo
Typical geophysical inversion problems are ill-posed, non-linear and non-unique. Sometimes the problem is trans-dimensional, where the number of unknown parameters is one of the un…