Efficient estimation of large portfolio loss probabilities in t-copula models
| 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 2430034. - Vol. 205.2010, 2 (1.9.), p. 361-368
|