Sequential importance sampling and resampling for dynamic portfolio credit risk
Shaojie Deng; Kay Giesecke; Tze Leung Lai
| Year of publication: |
2012
|
|---|---|
| Authors: | Deng, Shaojie ; Giesecke, Kay ; Lai, Tze Leung |
| Published in: |
Operations research. - Catonsville, MD : INFORMS, ISSN 0030-364X, ZDB-ID 123389-0. - Vol. 60.2012, 1, p. 78-91
|
| Subject: | Kreditrisiko | Credit risk | Portfolio-Management | Portfolio selection | Stichprobenerhebung | Sampling | Theorie | Theory | Monte-Carlo-Simulation | Monte Carlo 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/10009532668