Estimating multifactor portfolio credit risk : a variance reduction approach
Ming-Hua Hsieh, Yi-Hsi Lee, So-De Shyu, Yu-Fen Chiu
| Year of publication: |
2019
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|---|---|
| Authors: | Hsieh, Ming-Hua ; Lee, Yi-Hsi ; Shyu, So-De ; Chiu, Yu-Fen |
| Published in: |
Pacific-Basin finance journal. - Amsterdam [u.a.] : Elsevier, ISSN 0927-538X, ZDB-ID 1343420-2. - Vol. 57.2019, p. 1-17
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| Subject: | Factor copula models | Importance sampling | Monte Carlo simulation | Portfolio credit risk | Variance reduction | Monte-Carlo-Simulation | Kreditrisiko | Credit risk | Portfolio-Management | Portfolio selection | Theorie | Theory | Multivariate Verteilung | Multivariate distribution | Varianzanalyse | Analysis of variance | Stichprobenerhebung | Sampling | Risikomanagement | Risk management | Simulation |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.pacfin.2018.08.001 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012170623