Portfolio credit risk with Archimedean copulas: asymptotic analysis and efficient simulation (Q6596951)
From MaRDI portal
 | This is the item page for this Wikibase entity, intended for internal use and editing purposes. Please use this page instead for the normal view: Portfolio credit risk with Archimedean copulas: asymptotic analysis and efficient simulation |
scientific article; zbMATH DE number 7905438
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Portfolio credit risk with Archimedean copulas: asymptotic analysis and efficient simulation |
scientific article; zbMATH DE number 7905438 |
Statements
Portfolio credit risk with Archimedean copulas: asymptotic analysis and efficient simulation (English)
0 references
3 September 2024
0 references
portfolio credit risk
0 references
rare event simulation
0 references
Archimedean copulas
0 references
importance sampling
0 references
conditional Monte Carlo
0 references
0 references
0 references
0 references
0 references
