Multi-name extension to the credit grades and an efficient Monte Carlo method
Year of publication: |
2014
|
---|---|
Authors: | Takada, Hideyuki |
Published in: |
Journal of mathematical finance. - [S.l.] : Scientific Research, ISSN 2162-2434, ZDB-ID 2657377-5. - Vol. 4.2014, 3, p. 188-206
|
Subject: | Credit Risk | Default Contagion | Monte Carlo Method | Interacting Particle System | Theorie | Theory | Monte-Carlo-Simulation | Monte Carlo simulation | Kreditrisiko | Credit risk |
-
The robustness of estimatiors in structural credit loss distributions
Batiz-Zuk, Enrique, (2015)
-
Art-secured lending : a risk analysis framework
Charlin, Ventura, (2020)
-
Moments of renewal shot-noise processes and their applications
Jang, Jiwook, (2018)
- More ...
-
Credit risk model with contagious default dependencies affected by macro-economic condition
Takada, Hideyuki, (2011)
-
Nakagawa, Hidetoshi, (2014)
-
Exact and Efficient Simulation of Correlated Defaults
Giesecke, Kay, (2010)
- More ...