Efficient algorithms for calculating risk measures and risk contributions in copula credit risk models (Q6199670)
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scientific article; zbMATH DE number 7822353
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Efficient algorithms for calculating risk measures and risk contributions in copula credit risk models |
scientific article; zbMATH DE number 7822353 |
Statements
Efficient algorithms for calculating risk measures and risk contributions in copula credit risk models (English)
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21 March 2024
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copula credit risk models
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marginal risk contributions
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Monte Carlo simulation
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importance sampling
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saddlepoint approximation
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