Random sampling from a multivariate normal distribution is essential for Monte Carlo simulations in many credit risk models. For a portfolio of N obligors, standard methods usually require O(N2) ...
specifies a data set to use in providing a general covariance matrix for the runs. The argument to VAR= names the variables in this data set that contain the columns of the covariance matrix for the ...
Since the efficiency factors compare the designs to a (hypothetical) orthogonal design, values of 100% are not possible in this case. The OPTEX procedure includes facilities for examining the ...
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