Importance sampling for integrated market and credit portfolio models (Q953448): Difference between revisions

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+MaRDI publication profile
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+https://doi.org/10.1016/j.ejor.2007.12.028
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+W2070314644
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@@ Property / cites work @@
+Portfolio Credit Risk with Extremal Dependence: Asymptotic Analysis and Efficient Simulation
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@@ Property / cites work @@
+Integrated risk modelling
@@ Property / cites work: Integrated risk modelling / rank @@
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@@ Property / cites work @@
+Analytical value-at-risk with jumps and credit risk
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@@ Property / cites work @@
+Q4433608
@@ Property / cites work: Q4433608 / rank @@
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@@ Property / cites work @@
+Importance Sampling for Portfolio Credit Risk
@@ Property / cites work: Importance Sampling for Portfolio Credit Risk / rank @@
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+Variance Reduction Techniques for Estimating Value-at-Risk
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@@ Property / cites work @@
+Portfolio Value-at-Risk with Heavy-Tailed Risk Factors
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@@ Property / cites work @@
+Computational aspects of integrated market and credit portfolio models
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@@ Property / cites work @@
+Rapid and accurate development of prices and Greeks for<i>n</i>th to default credit swaps in the Li model
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@@ Property / cites work @@
+Applying importance sampling for estimating coherent credit risk contributions
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+On the Strong Law of Large Numbers and Related Results for Quasi-Stationary Sequences
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@@ Property / cites work @@
+An equilibrium characterization of the term structure
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+Publication:953448