An importance sampling method for portfolio risk (Q3462867)
From MaRDI portal
!
This is the item page for this Wikibase entity, intended for internal use and editing purposes. Please use the normal view instead:
scientific article; zbMATH DE number 6531306
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
||
| English | An importance sampling method for portfolio risk |
scientific article; zbMATH DE number 6531306 |
Statements
15 January 2016
0 references
importance sampling
0 references
Monte Carlo simulation
0 references
portfolio risk
0 references
Gaussian copula model
0 references
0.8944417834281921
0 references
0.8673902750015259
0 references
0.8668198585510254
0 references
0.8539180159568787
0 references
0.826564610004425
0 references
