Sequential Monte Carlo samplers for capital allocation under copula-dependent risk models (Q2347111)
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scientific article; zbMATH DE number 6440022
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| English | Sequential Monte Carlo samplers for capital allocation under copula-dependent risk models |
scientific article; zbMATH DE number 6440022 |
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Sequential Monte Carlo samplers for capital allocation under copula-dependent risk models (English)
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26 May 2015
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risk management
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capital allocation
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sequential Monte Carlo (SMC)
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copula models
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Euler allocation
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0.7709231972694397
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0.7586846947669983
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0.7583418488502502
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0.7551159262657166
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0.753905177116394
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