Efficient estimation of large portfolio loss probabilities in t-copula models

Joshua C. C. Chan; Dirk P. Kroese

Year of publication:	2010
Authors:	Chan, Joshua C. C. ; Kroese, Dirk P.
Published in:	European journal of operational research : EJOR. - Amsterdam : Elsevier, ISSN 0377-2217, ZDB-ID 243003-4. - Vol. 205.2010, 2 (2.9.), p. 361-367
Subject:	Portfolio-Management \| Portfolio selection \| Wahrscheinlichkeitsrechnung \| Probability theory \| Statistische Verteilung \| Statistical distribution \| Schätztheorie \| Estimation theory \| Insolvenz \| Insolvency

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