Efficient simulations for a Bernoulli mixture model of portfolio credit risk (Q1703543): Difference between revisions

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+Optimally stratified importance sampling for portfolio risk with multiple loss thresholds
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+Portfolio Credit Risk with Extremal Dependence: Asymptotic Analysis and Efficient Simulation
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+Efficient estimation of large portfolio loss probabilities in \(t\)-copula models
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+Q4869639
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+Bayesian Inference in Econometric Models Using Monte Carlo Integration
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+Q4433608
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+Importance Sampling for Portfolio Credit Risk
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+Q5706744
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+Simulation and the Monte Carlo Method
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+Increasing the number of inner replications of multifactor portfolio credit risk simulation in the t-copula model
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+Fast simulations in credit risk
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+Efficient risk simulations for linear asset portfolios in the \(t\)-copula model
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