Fast simulations in credit risk (Q5745630)

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scientific article; zbMATH DE number 6252514
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Fast simulations in credit risk
scientific article; zbMATH DE number 6252514

    Statements

    title
    Fast simulations in credit risk (English)
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    author
    Halis Sak
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    Wolfgang Hörmann
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    publication date
    30 January 2014
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    zbMATH Keywords
    Monte Carlo methods
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    credit risk
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    geometric shortcut
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    expected shortfall
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    variance reduction
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    Identifiers

    zbMATH DE Number
    6252514
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    OpenAlex ID
    W2058126714
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