Efficient importance sampling estimation for joint default probability: the first passage time problem (Q2909991)
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scientific article; zbMATH DE number 6078923
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| English | Efficient importance sampling estimation for joint default probability: the first passage time problem |
scientific article; zbMATH DE number 6078923 |
Statements
Efficient Importance Sampling Estimation for Joint Default Probability:The First Passage Time Problem (English)
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7 September 2012
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structural-form model
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probability of joint default
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efficient importance
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sampling
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large deviation theory
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0.8288069367408752
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0.8028929829597473
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0.7783524990081787
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0.7758987545967102
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