Publication:5493414
From MaRDI portal
zbMath1104.91030MaRDI QIDQ5493414
Christian Bluhm, Ludger Overbeck
Publication date: 20 October 2006
copula; portfolio; expected loss; hedging; Monte Carlo simulations; Markov chain; credit risk; expected shortfall; default probability; collateralized debt obligations; default basket
91-02: Research exposition (monographs, survey articles) pertaining to game theory, economics, and finance
91G10: Portfolio theory
91G40: Credit risk
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