Simulating Risk Contributions of Credit Portfolios (Q3195233)

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Simulating Risk Contributions of Credit Portfolios
scientific article

    Statements

    title
    Simulating Risk Contributions of Credit Portfolios (English)
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    author
    Guangwu Liu
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    publication date
    22 October 2015
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    zbMATH Keywords
    credit risk
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    risk contributions
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    simulation
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    importance sampling
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    Identifiers

    Mathematics Subject Classification ID
    91G60
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    65C05
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    91G40
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    zbMATH DE Number
    6497434
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