Simulating Risk Contributions of Credit Portfolios (Q3195233): Difference between revisions

@@ Property / MaRDI profile type @@
+MaRDI publication profile
@@ Property / MaRDI profile type: MaRDI publication profile / rank @@
+Normal rank
@@ Property / full work available at URL @@
+https://doi.org/10.1287/opre.2015.1351
+Normal rank
@@ Property / OpenAlex ID @@
+W2113997143
@@ Property / OpenAlex ID: W2113997143 / rank @@
+Normal rank
@@ Property / cites work @@
+Portfolio Credit Risk with Extremal Dependence: Asymptotic Analysis and Efficient Simulation
+Normal rank
@@ Property / cites work @@
+PARTICLE METHODS FOR THE ESTIMATION OF CREDIT PORTFOLIO LOSS DISTRIBUTIONS
+Normal rank
@@ Property / cites work @@
+Interaction particle systems for the computation of rare credit portfolio losses
+Normal rank
@@ Property / cites work @@
+Fast Pricing of Basket Default Swaps
@@ Property / cites work: Fast Pricing of Basket Default Swaps / rank @@
+Normal rank
@@ Property / cites work @@
+Sequential Importance Sampling and Resampling for Dynamic Portfolio Credit Risk
+Normal rank
@@ Property / cites work @@
+Time-Changed Birth Processes and Multiname Credit Derivatives
+Normal rank
@@ Property / cites work @@
+Affine Point Processes and Portfolio Credit Risk
@@ Property / cites work: Affine Point Processes and Portfolio Credit Risk / rank @@
+Normal rank
@@ Property / cites work @@
+Conditional Monte Carlo Estimation of Quantile Sensitivities
+Normal rank
@@ Property / cites work @@
+Importance Sampling for Portfolio Credit Risk
@@ Property / cites work: Importance Sampling for Portfolio Credit Risk / rank @@
+Normal rank
@@ Property / cites work @@
+Fast Simulation of Multifactor Portfolio Credit Risk
+Normal rank
@@ Property / cites work @@
+A Study on the Cross-Entropy Method for Rare-Event Probability Estimation
+Normal rank
@@ Property / cites work @@
+Estimating Quantile Sensitivities
@@ Property / cites work: Estimating Quantile Sensitivities / rank @@
+Normal rank
@@ Property / cites work @@
+Estimating Sensitivities of Portfolio Credit Risk Using Monte Carlo
+Normal rank
@@ Property / cites work @@
+Pathwise Estimation of Probability Sensitivities Through Terminating or Steady-State Simulations
+Normal rank
@@ Property / cites work @@
+AN AXIOMATIC APPROACH TO CAPITAL ALLOCATION
@@ Property / cites work: AN AXIOMATIC APPROACH TO CAPITAL ALLOCATION / rank @@
+Normal rank
@@ Property / cites work @@
+On Information and Sufficiency
@@ Property / cites work: On Information and Sufficiency / rank @@
+Normal rank
@@ Property / cites work @@
+Capital allocation for credit portfolios with kernel estimators
+Normal rank