Adaptive integration for multi-factor portfolio credit loss models (Q2271942)

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Adaptive integration for multi-factor portfolio credit loss models
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    title
    Adaptive integration for multi-factor portfolio credit loss models (English)
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    author
    Xinzheng Huang
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    publication date
    5 August 2009
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    Mathematics Subject Classification ID
    91G60
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    65D30
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    65C05
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    zbMATH DE Number
    5590363
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    zbMATH Keywords
    adaptive integration
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    Genz-Malik rule
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    Monte Carlo
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    credit portfolio loss
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