ABSTRACT 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 ...

Suppose that the matrix M * is significantly structured, for example, in all-to-all connected blocks with connectance q =1. Now when investigating stability, both matrices C * and M * may be ...

For the large sparse block two-by-two real nonsingular matrices, we establish a general framework of practical and efficient structured preconditioners through matrix transformation and matrix ...