Simulating risk contributions of credit portfolios
Guangwu Liu
| Year of publication: |
2015
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|---|---|
| Authors: | Liu, Guangwu |
| Published in: |
Operations research. - Catonsville, MD : INFORMS, ISSN 0030-364X, ZDB-ID 123389-0. - Vol. 63.2015, 1, p. 104-121
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| Subject: | credit risk | risk contributions | simulation | importance sampling | Kreditrisiko | Credit risk | Simulation | Portfolio-Management | Portfolio selection | Theorie | Theory | Risikomanagement | Risk management | Stichprobenerhebung | Sampling | Risikomaß | Risk measure | Risiko | Risk | Monte-Carlo-Simulation | Monte Carlo simulation | Bankrisiko | Bank risk |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10010519509