Fast Simulation of Multifactor Portfolio Credit Risk
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Publication:3392241
DOI10.1287/opre.1080.0558zbMath1167.91369MaRDI QIDQ3392241
Wanmo Kang, Paul Glasserman, Perwez Shahabuddin
Publication date: 13 August 2009
Published in: Operations Research (Search for Journal in Brave)
Full work available at URL: https://semanticscholar.org/paper/606fc175eed0ceddbfe619d45a98c6b42c55d273
62P05: Applications of statistics to actuarial sciences and financial mathematics
62H05: Characterization and structure theory for multivariate probability distributions; copulas
60F10: Large deviations
91G40: Credit risk
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