Copula sensitivity analysis for portfolio credit derivatives (Q6167430)
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scientific article; zbMATH DE number 7709120
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| default for all languages | No label defined |
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| English | Copula sensitivity analysis for portfolio credit derivatives |
scientific article; zbMATH DE number 7709120 |
Statements
Copula sensitivity analysis for portfolio credit derivatives (English)
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10 July 2023
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simulation
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stochastic gradient estimation
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credit derivative
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conditional Monte Carlo
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copula model
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0.8332878351211548
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0.7805355191230774
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0.7753564119338989
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0.7662990689277649
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