Importance sampling for integrated market and credit portfolio models (Q953448): Difference between revisions

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+Portfolio Credit Risk with Extremal Dependence: Asymptotic Analysis and Efficient Simulation
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+Integrated risk modelling
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+Analytical value-at-risk with jumps and credit risk
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+Q4433608
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+Importance Sampling for Portfolio Credit Risk
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+Variance Reduction Techniques for Estimating Value-at-Risk
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+Portfolio Value-at-Risk with Heavy-Tailed Risk Factors
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+Computational aspects of integrated market and credit portfolio models
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+Rapid and accurate development of prices and Greeks for<i>n</i>th to default credit swaps in the Li model
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+Applying importance sampling for estimating coherent credit risk contributions
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+On the Strong Law of Large Numbers and Related Results for Quasi-Stationary Sequences
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+An equilibrium characterization of the term structure
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