Importance Sampling for Portfolio Credit Risk
Year of publication: |
2005
|
---|---|
Authors: | Glasserman, Paul ; Li, Jingyi |
Published in: |
Management Science. - Institute for Operations Research and the Management Sciences - INFORMS, ISSN 0025-1909. - Vol. 51.2005, 11, p. 1643-1656
|
Publisher: |
Institute for Operations Research and the Management Sciences - INFORMS |
Subject: | Monte Carlo simulation | variance reduction | importance sampling | portfolio credit risk |
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