Computation of credit portfolio loss distribution by a cross entropy method (Q330381)
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scientific article; zbMATH DE number 6643120
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Computation of credit portfolio loss distribution by a cross entropy method |
scientific article; zbMATH DE number 6643120 |
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Computation of credit portfolio loss distribution by a cross entropy method (English)
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25 October 2016
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credit risk
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Monte Carlo method
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importance sampling
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cross-entropy method
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normal copula
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Student \(t\)-copula
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