Estimating sensitivities of portfolio credit risk using Monte Carlo
Year of publication: |
2014
|
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Authors: | Hong, L. Jeff ; Juneja, Sandeep ; Luo, Jun |
Published in: |
INFORMS journal on computing : JOC. - Catonsville, MD : INFORMS, ISSN 1091-9856, ZDB-ID 1316077-1. - Vol. 26.2014, 4, p. 848-865
|
Subject: | sensitivity estimation | Monte Carlo simulation | conditioning techniques | Monte-Carlo-Simulation | Kreditrisiko | Credit risk | Schätztheorie | Estimation theory | Portfolio-Management | Portfolio selection |
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