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

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-.1287/opre.2015.1351
@@ Property / DOI: 10.1287/opre.2015.1351 / rank @@
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+https://doi.org/10.1287/opre.2015.1351
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+W2113997143
@@ Property / OpenAlex ID: W2113997143 / rank @@
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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 @@
+PARTICLE METHODS FOR THE ESTIMATION OF CREDIT PORTFOLIO LOSS DISTRIBUTIONS
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@@ Property / cites work @@
+Interaction particle systems for the computation of rare credit portfolio losses
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@@ Property / cites work @@
+Fast Pricing of Basket Default Swaps
@@ Property / cites work: Fast Pricing of Basket Default Swaps / rank @@
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@@ Property / cites work @@
+Sequential Importance Sampling and Resampling for Dynamic Portfolio Credit Risk
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+Time-Changed Birth Processes and Multiname Credit Derivatives
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+Affine Point Processes and Portfolio Credit Risk
@@ Property / cites work: Affine Point Processes and Portfolio Credit Risk / rank @@
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@@ Property / cites work @@
+Conditional Monte Carlo Estimation of Quantile Sensitivities
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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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@@ Property / cites work @@
+Fast Simulation of Multifactor Portfolio Credit Risk
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@@ Property / cites work @@
+A Study on the Cross-Entropy Method for Rare-Event Probability Estimation
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@@ Property / cites work @@
+Estimating Quantile Sensitivities
@@ Property / cites work: Estimating Quantile Sensitivities / rank @@
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@@ Property / cites work @@
+Estimating Sensitivities of Portfolio Credit Risk Using Monte Carlo
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@@ Property / cites work @@
+Pathwise Estimation of Probability Sensitivities Through Terminating or Steady-State Simulations
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@@ Property / cites work @@
+AN AXIOMATIC APPROACH TO CAPITAL ALLOCATION
@@ Property / cites work: AN AXIOMATIC APPROACH TO CAPITAL ALLOCATION / rank @@
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@@ Property / cites work @@
+On Information and Sufficiency
@@ Property / cites work: On Information and Sufficiency / rank @@
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@@ Property / cites work @@
+Capital allocation for credit portfolios with kernel estimators
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@@ Property / DOI @@
+.1287/OPRE.2015.1351
@@ Property / DOI: 10.1287/OPRE.2015.1351 / rank @@
+Normal rank
@@ links / mardi / name / links / mardi / name @@
+Publication:3195233