Estimating sensitivities of portfolio credit risk using Monte Carlo (Q2940072)
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scientific article; zbMATH DE number 6390390
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| English | Estimating sensitivities of portfolio credit risk using Monte Carlo |
scientific article; zbMATH DE number 6390390 |
Statements
Estimating Sensitivities of Portfolio Credit Risk Using Monte Carlo (English)
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26 January 2015
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sensitivity estimation
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Monte Carlo simulation
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conditioning techniques
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0.8598716259002686
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0.7934379577636719
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0.7805355191230774
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0.7797530889511108
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0.7782195210456848
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