Consistent information multivariate density optimizing methodology

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Systemic Risk Measures: The Simpler the Better? (2013, methodology): “Segoviano and Goodhart (2009) model the so-called Banking System Multivariate Density (i.e., joint probability distribution of the banks that compose th portfolio, BSMD) by means of the Consistent Information Multivariate Density Optimizing methodology (Segoviano, 2006).”
Working Paper # 0001 January 5 , 2012 A Survey of Systemic Risk Analytics (2012, unknown): “The authors use the same method as in Segoviano (2006); for bank i, a daily time series of its PoD is constructed.”
Sovereign Spreads: Global Risk Aversion, Contagion or Fundamentals? (2010, unknown): “Segoviano (2006) shows that the CIMDO distribution with q(x, y) as the prior is of the form: ) )1 2, ,( , ) ( , ) exp 1 ( ) ( ) .x yd dx xp x y q x y µ λ χ λ χ ∞ ∞ = − + + + We define 1( ) ( ),c cu F x x F u −= ⇔ = and 1( ) ( ).c cv H y y H v −= ⇔ = Thus, the CIMDO marginal densities…”
The Dynamics of Spillover Effects during the European Sovereign Debt Turmoil (2014, unknown): “Furthermore, Caceres et al. (2010) use the methodology developed by Segoviano (2006) by estimating the spillover coefficients for each country in the euro area.”