A k-variate Bernoulli distribution with k + 1 parameters is obtained as a shock model in which shocks are fatal to single components only or to all components simultaneously in a k-component system.

In this article the problem of obtaining the maximum likelihood estimates of the parameters from a special type of linear combination of discrete probability functions is discussed. It is shown that ...

The challenge of using small sample sizes for operational risk capital models fitted via maximum likelihood estimation is well recognized, yet the literature generally provides warning examples rather ...

In the process of loan pricing, stress testing, capital allocation, modeling of probability of default (PD) term structure and International Financial Reporting Standard 9 expected credit loss ...

How can I specify a binomial response model using a macro? The Manual Supplement (available to download for free) gives an example of running a logistic regression from a macro on pp 86-87, and this ...