Importance Sampling Estimation of Joint Default Probability under Structural-Form Models with Stochastic Correlation (Q5326120)
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scientific article; zbMATH DE number 6193375
Language | Label | Description | Also known as |
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English | Importance Sampling Estimation of Joint Default Probability under Structural-Form Models with Stochastic Correlation |
scientific article; zbMATH DE number 6193375 |
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Importance Sampling Estimation of Joint Default Probability under Structural-Form Models with Stochastic Correlation (English)
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31 July 2013
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joint default probabilities
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stochastic correlation
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singular perturbation method
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importance sampling method
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