Efficient exposure computation by risk factor decomposition (Q4619510)
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scientific article; zbMATH DE number 7013633
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Efficient exposure computation by risk factor decomposition |
scientific article; zbMATH DE number 7013633 |
Statements
Efficient exposure computation by risk factor decomposition (English)
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6 February 2019
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counterparty credit risk estimation
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nested conditional expectations
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anchored-ANOVA decompositions for high-dimensional PDEs
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