Simulating Risk Contributions of Credit Portfolios (Q3195233): Difference between revisions

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+Portfolio Credit Risk with Extremal Dependence: Asymptotic Analysis and Efficient Simulation
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+PARTICLE METHODS FOR THE ESTIMATION OF CREDIT PORTFOLIO LOSS DISTRIBUTIONS
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+Interaction particle systems for the computation of rare credit portfolio losses
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+Fast Pricing of Basket Default Swaps
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+Sequential Importance Sampling and Resampling for Dynamic Portfolio Credit Risk
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+Time-Changed Birth Processes and Multiname Credit Derivatives
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+Affine Point Processes and Portfolio Credit Risk
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+Conditional Monte Carlo Estimation of Quantile Sensitivities
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+Importance Sampling for Portfolio Credit Risk
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+Fast Simulation of Multifactor Portfolio Credit Risk
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+A Study on the Cross-Entropy Method for Rare-Event Probability Estimation
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+Estimating Quantile Sensitivities
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+Estimating Sensitivities of Portfolio Credit Risk Using Monte Carlo
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+Pathwise Estimation of Probability Sensitivities Through Terminating or Steady-State Simulations
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+AN AXIOMATIC APPROACH TO CAPITAL ALLOCATION
@@ Property / cites work: AN AXIOMATIC APPROACH TO CAPITAL ALLOCATION / rank @@
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+On Information and Sufficiency
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+Capital allocation for credit portfolios with kernel estimators
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