Metamodel of a Large Credit Risk Portfolio in the Gaussian Copula Model (Q5144186)
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scientific article; zbMATH DE number 7296666
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Metamodel of a Large Credit Risk Portfolio in the Gaussian Copula Model |
scientific article; zbMATH DE number 7296666 |
Statements
Metamodel of a Large Credit Risk Portfolio in the Gaussian Copula Model (English)
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15 January 2021
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Monte Carlo simulation
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portfolio credit risk
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polynomial chaos expansion
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Wiener chaos decomposition
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metamodel
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