Efficient estimation of large portfolio loss probabilities in \(t\)-copula models (Q976453): Difference between revisions
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Revision as of 13:04, 26 February 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Efficient estimation of large portfolio loss probabilities in \(t\)-copula models |
scientific article |
Statements
Efficient estimation of large portfolio loss probabilities in \(t\)-copula models (English)
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11 June 2010
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credit risk
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copula models
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rare-event simulation
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cross-entropy method
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conditional Monte Carlo
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