Compound scenarios : an efficient framework for integrated market-credit risk
Ben De Prisco; Ian Iscoe; Yijun Jiang; Helmut Mausser
| Year of publication: |
2009
|
|---|---|
| Authors: | De Prisco, Ben ; Iscoe, Ian ; Jiang, Yijun ; Mausser, Helmut |
| Published in: |
Journal of risk. - London : Infopro Digital Risk, ISSN 1465-1211, ZDB-ID 1476260-2. - Vol. 11.2008/09, 2, p. 3-38
|
| Subject: | Kreditrisiko | Credit risk | Varianzanalyse | Analysis of variance | Dekompositionsverfahren | Decomposition method | Simulation | Monte-Carlo-Simulation | Monte Carlo simulation |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10003809404