Efficient algorithms for calculating risk measures and risk contributions in copula credit risk models

Zhenzhen Huang, Yue Kuen Kwok, Ziqing Xu

Year of publication:	2024
Authors:	Huang, Zhenzhen ; Kwok, Yue-Kuen ; Xu, Ziqing
Subject:	Copula credit risk models \| Importance sampling \| Marginal risk contributions \| Monte Carlo simulation \| Saddlepoint approximation \| Kreditrisiko \| Credit risk \| Risikomaß \| Risk measure \| Monte-Carlo-Simulation \| Multivariate Verteilung \| Multivariate distribution \| Theorie \| Theory \| Portfolio-Management \| Portfolio selection \| Risikomanagement \| Risk management \| Stichprobenerhebung \| Sampling \| Simulation \| Risiko \| Risk \| Messung \| Measurement

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