Efficient estimation of large portfolio loss probabilities in \(t\)-copula models (Q976453)
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: Efficient estimation of large portfolio loss probabilities in \(t\)-copula models |
scientific article; zbMATH DE number 5720404
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Efficient estimation of large portfolio loss probabilities in \(t\)-copula models |
scientific article; zbMATH DE number 5720404 |
Statements
Efficient estimation of large portfolio loss probabilities in \(t\)-copula models (English)
0 references
11 June 2010
0 references
credit risk
0 references
copula models
0 references
rare-event simulation
0 references
cross-entropy method
0 references
conditional Monte Carlo
0 references
0 references
