Efficient estimation of large portfolio loss probabilities in \(t\)-copula models (Q976453): Difference between revisions

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Latest revision as of 22:44, 2 July 2024

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Efficient estimation of large portfolio loss probabilities in \(t\)-copula models
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    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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