Uncertainty quantification (UQ) is increasingly critical for modelling complex systems in which input parameters or environmental conditions vary unpredictably. Polynomial chaos methods offer a ...
We discuss the application of orthogonal polynomials to the estimation of probability density functions, particularly with regard to accessing features of a portfolio's profit/loss distribution. Such ...
The present issue of The Journal of Risk contains papers that address the impact of model risk on capital requirements, and also includes robust approximation approaches for risk assessment and risk ...
Some results have been hidden because they may be inaccessible to you
Show inaccessible results
Feedback