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Bankruptcy law and firms' behavior
Epaulard, Anne; Pommeret, Aude - Institut für Schweizerisches Bankwesen <Zürich> - 2006
. Because of risk, the firm may default. The firm manager takes investment and default decisions in order to maximize the value …
Persistent link: https://www.econbiz.de/10005858212
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Optimal Importance Sampling for Credit Portfolios with Stochastic Approximation
Egloff, Daniel; Leippold, Markus; Jöhri, Stephan - Institut für Schweizerisches Bankwesen <Zürich> - 2005
calculating the risk figures of a typical medium-sized credit risk portfolio with 2000 obligors. Simulating the tail of the loss … the application of stochastic approximation methods in risk management.Keywords …
Persistent link: https://www.econbiz.de/10005858875