A Fast Algorithm for Computing Expected Loan Portfolio Tranche Loss in the Gaussian Factor Model (Q6475600)
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scientific article; zbMATH DE number 900058627
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| English | A Fast Algorithm for Computing Expected Loan Portfolio Tranche Loss in the Gaussian Factor Model |
scientific article; zbMATH DE number 900058627 |
Statements
7 June 2005
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math.NA
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math.ST
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q-fin.CP
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stat.TH
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