In February 2008 I accompanied Javier Solana, the European Union’s High Representative for Common Foreign and Security Policy, to Kosovo’s capital, Pristina. The trip came just two days after the ...

In many application areas, a primary focus is on assessing evidence in the data refuting the assumption of independence of Y and X conditionally on Z, with Y response variables, X predictors of ...

We demonstrate the impact of conditional correlation on an asymptotic single risk factor model within the framework of dynamic credit provisioning and stress testing. Specifically, we show the effect ...

This paper proposes a portfolio risk evaluation method that assumes conditional independence. We consider some latent variables which determine the conditional distribution of the future price or the ...