Importance sampling for integrated market and credit portfolio models
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Publication:953448
DOI10.1016/j.ejor.2007.12.028zbMath1158.91378MaRDI QIDQ953448
Publication date: 20 November 2008
Published in: European Journal of Operational Research (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.ejor.2007.12.028
importance sampling; credit risk; value-at-risk; interest rate risk; risk management; bottom-up approach
Related Items
Cites Work
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- Variance Reduction Techniques for Estimating Value-at-Risk
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