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
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|---|---|
| Authors: | Huang, Zhenzhen ; Kwok, Yue-Kuen ; Xu, Ziqing |
| Published in: |
Insurance : mathematics and economics. - Amsterdam : North Holland Publ. Co., ISSN 0167-6687, ZDB-ID 2010248-3. - Vol. 115.2024, p. 132-150
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| 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 |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.insmatheco.2024.01.005 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10015066737