Copula sensitivity analysis for portfolio credit derivatives
Lei Lei, Yijie Peng, Michael C. Fu, Jian-Qiang Hu
| Year of publication: |
2023
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|---|---|
| Authors: | Lei, Lei ; Peng, Yijie ; Fu, Michael ; Hu, Jian-Qiang |
| Published in: |
European journal of operational research : EJOR. - Amsterdam : Elsevier, ISSN 0377-2217, ZDB-ID 243003-4. - Vol. 308.2023, 1 (1.7.), p. 455-466
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| Subject: | Conditional Monte Carlo | Copula model | Credit derivative | Simulation | Stochastic gradient estimation | Multivariate Verteilung | Multivariate distribution | Derivat | Derivative | Monte-Carlo-Simulation | Monte Carlo simulation | Theorie | Theory | Kreditrisiko | Credit risk | Portfolio-Management | Portfolio selection | Sensitivitätsanalyse | Sensitivity analysis |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.ejor.2022.10.031 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014283065