Copula sensitivity analysis for portfolio credit derivatives
Year of publication: |
2023
|
---|---|
Authors: | Lei, Lei ; Peng, Yijie ; Fu, Michael ; Hu, Jian-Qiang |
Published in: |
European journal of operational research : EJOR. - Amsterdam : Elsevier, ISSN 0377-2217, ZDB-ID 243003-4. - Vol. 308.2023, 1 (1.7.), p. 455-466
|
Subject: | Conditional Monte Carlo | Copula model | Credit derivative | Simulation | Stochastic gradient estimation | Theorie | Theory | Multivariate Verteilung | Multivariate distribution | Derivat | Derivative | Portfolio-Management | Portfolio selection | Monte-Carlo-Simulation | Monte Carlo simulation | Kreditrisiko | Credit risk | Sensitivitätsanalyse | Sensitivity analysis |
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