Efficient risk simulations for linear asset portfolios in the \(t\)-copula model (Q1041011): Difference between revisions

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+Portfolio Credit Risk with Extremal Dependence: Asymptotic Analysis and Efficient Simulation
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+A Limited Memory Algorithm for Bound Constrained Optimization
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+Asymptotically Optimal Importance Sampling and Stratification for Pricing Path-Dependent Options
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+Portfolio Value-at-Risk with Heavy-Tailed Risk Factors
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+Continuous random variate generation by fast numerical inversion
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+Q4935943
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