We consider the asymptotic behaviour of the marginal maximum likelihood empirical Bayes posterior distribution in general setting. First, we characterize the set where the maximum marginal likelihood ...

In certain multivariate problems the full probability density has an awkward normalizing constant, but the conditional and/or marginal distributions may be much more tractable. In this paper we ...

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 ...