Credit portfolio modelling: Calculating portfolio loss Products such as CD0s require a model for the entire distribution. The authors meet this challenge by combining fast Fourier transforms and Monte Carlo within the conditional independence framework.
| Year of publication: |
2002
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|---|---|
| Authors: | Merino, Sandro ; Nyfeler, Mark |
| Published in: |
Risk : managing risk in the world's financial markets. - London : Incisive Financial Publ, ISSN 0952-8776, ZDB-ID 10494753. - Vol. 15.2002, 8, p. 82-86
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