Increasing the number of inner replications of multifactor portfolio credit risk simulation in the t-copula model (Q3068190)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Increasing the number of inner replications of multifactor portfolio credit risk simulation in the t-copula model |
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Increasing the number of inner replications of multifactor portfolio credit risk simulation in the t-copula model (English)
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13 January 2011
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Monte Carlo simulation
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credit risk
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geometric shortcut
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VaR
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expected shortfall
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variance reduction
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extremal dependence
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