Computational techniques for basic affine models of portfolio credit risk
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Publication:3639928
DOI10.21314/JCF.2009.200zbMath1178.91210OpenAlexW2182543376MaRDI QIDQ3639928
Publication date: 26 October 2009
Published in: The Journal of Computational Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.21314/jcf.2009.200
market frictionscredit derivativesGaussian copulaportfolio loss distributionAndersen-Sidenius-Basu algorithmcorporate defaults
Numerical methods (including Monte Carlo methods) (91G60) Derivative securities (option pricing, hedging, etc.) (91G20) Portfolio theory (91G10) Credit risk (91G40)
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