Estimating Sensitivities of Portfolio Credit Risk Using Monte Carlo (Q2940072)

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Estimating Sensitivities of Portfolio Credit Risk Using Monte Carlo
scientific article

    Statements

    title
    Estimating Sensitivities of Portfolio Credit Risk Using Monte Carlo (English)
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    author
    L. Jeff Hong
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    Sandeep Juneja
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    Jun Luo
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    publication date
    26 January 2015
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    zbMATH Keywords
    sensitivity estimation
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    Monte Carlo simulation
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    conditioning techniques
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    Identifiers

    Mathematics Subject Classification ID
    91G40
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    91G70
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    62P05
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    65L05
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    zbMATH DE Number
    6390390
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    OpenAlex ID
    W2114250179
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