Under the high-dimensional setting that the data dimension and sample size tend to infinity proportionally, we derive the limiting spectral distribution and establish the central limit theorem of the ...

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) ...

Any correlation matrix can be decomposed into characteristic entities called Eigen values and Eigen vectors. Assuming one wouldn't know the direction of the true Eigen vectors – that is, by keeping ...