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pro vyhledávání: '"Tabachová, Zlata"'
Realistic credit risk assessment, the estimation of losses from counterparty's failure, is central for the financial stability. Credit risk models focus on the financial conditions of borrowers and only marginally consider other risks from the real e
Externí odkaz:
http://arxiv.org/abs/2305.04865
Publikováno v:
In Journal of Financial Stability December 2024 75
Publikováno v:
Entropy. 2022; 24(7):855
Uncovering causal interdependencies from observational data is one of the great challenges of nonlinear time series analysis. In this paper, we discuss this topic with the help of information-theoretic concept known as R\'enyi information measure. In
Externí odkaz:
http://arxiv.org/abs/2203.11407