Stratified importance sampling for a Bernoulli mixture model of portfolio credit risk
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Publication:6103211
DOI10.1007/s10479-023-05174-zzbMath1519.91277MaRDI QIDQ6103211
Publication date: 26 June 2023
Published in: Annals of Operations Research (Search for Journal in Brave)
Applications of statistics to actuarial sciences and financial mathematics (62P05) Numerical methods (including Monte Carlo methods) (91G60) Monte Carlo methods (65C05) Portfolio theory (91G10) Credit risk (91G40)
Cites Work
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