Importance sampling for integrated market and credit portfolio models (Q953448)
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scientific article; zbMATH DE number 5370068
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| English | Importance sampling for integrated market and credit portfolio models |
scientific article; zbMATH DE number 5370068 |
Statements
Importance sampling for integrated market and credit portfolio models (English)
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20 November 2008
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bottom-up approach
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credit risk
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importance sampling
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interest rate risk
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risk management
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value-at-risk
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0.849681556224823
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0.843793511390686
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0.8382298946380615
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0.8224738836288452
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0.8114478588104248
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