Importance sampling for integrated market and credit portfolio models (Q953448): Difference between revisions
From MaRDI portal
Set profile property. |
Set OpenAlex properties. |
||
| Property / full work available at URL | |||
| Property / full work available at URL: https://doi.org/10.1016/j.ejor.2007.12.028 / rank | |||
Normal rank | |||
| Property / OpenAlex ID | |||
| Property / OpenAlex ID: W2070314644 / rank | |||
Normal rank | |||
Revision as of 21:08, 19 March 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Importance sampling for integrated market and credit portfolio models |
scientific article |
Statements
Importance sampling for integrated market and credit portfolio models (English)
0 references
20 November 2008
0 references
bottom-up approach
0 references
credit risk
0 references
importance sampling
0 references
interest rate risk
0 references
risk management
0 references
value-at-risk
0 references
