We compute the limiting distributions of the largest eigenvalue of a complex Gaussian sample covariance matrix when both the number of samples and the number of variables in each sample become large.

Need to know The paper improves "Pricing Credit Derivatives with Rating Transitions” by Acharya, Das, and Sundaram (ADS). The paper extends the ADS model to a dynamic one with a more realistic ...

A method for calculating the implied no-recovery three-state transition matrix using observable population mortality incidence and disability prevalence rates among the elderly William Lim, Gaurav ...