PARTICLE METHODS FOR THE ESTIMATION OF CREDIT PORTFOLIO LOSS DISTRIBUTIONS (Q3580185)
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scientific article; zbMATH DE number 5769232
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| English | PARTICLE METHODS FOR THE ESTIMATION OF CREDIT PORTFOLIO LOSS DISTRIBUTIONS |
scientific article; zbMATH DE number 5769232 |
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PARTICLE METHODS FOR THE ESTIMATION OF CREDIT PORTFOLIO LOSS DISTRIBUTIONS (English)
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11 August 2010
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importance sampling
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interacting particle systems
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rare events
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credit portfolios
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loss distribution estimation
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0.9216516
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0.8871156
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0.8771317
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0.86822313
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0.86376107
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0.8543242
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0.84002894
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0.8394777
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0.8387468
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