There is hardly any literature on modelling nonlinear dynamic relations involving nonnormal time series data. This is a serious lacuna because nonnormal data are far more abundant than normal ones, ...

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 ...

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 ...