Estimating sensitivities of portfolio credit risk using Monte Carlo
L. Jeff Hong; Sandeep Juneja; Jun Luo
| Year of publication: |
2014
|
|---|---|
| Authors: | Hong, L. Jeff ; Juneja, Sandeep ; Luo, Jun |
| Published in: |
INFORMS journal on computing : JOC. - Catonsville, MD : INFORMS, ISSN 1091-9856, ZDB-ID 1316077-1. - Vol. 26.2014, 4, p. 848-865
|
| Subject: | sensitivity estimation | Monte Carlo simulation | conditioning techniques | Monte-Carlo-Simulation | Kreditrisiko | Credit risk | Schätztheorie | Estimation theory | Simulation |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10010477690