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  • Search: subject:"loss distribution estimation"
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Year of publication
Subject
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Importance sampling 1 aggregate loss distribution estimation 1 combining historical data with scenario information 1 credit portfolios 1 interacting particle systems 1 loss distribution approach 1 loss distribution estimation 1 measures of agreement 1 rare events 1 severity distribution estimation 1
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Online availability
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Undetermined 1
Type of publication
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Article 2
Type of publication (narrower categories)
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Article in journal 1 Aufsatz in Zeitschrift 1
Language
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English 1 Undetermined 1
Author
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CARMONA, RENÉ 1 CRÉPEY, STÉPHANE 1 De Wet, Tertius 1 Jongh, P. J. de 1 Raubenheimer, H. 1 Venter, J. H. 1
Published in...
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International Journal of Theoretical and Applied Finance (IJTAF) 1 The journal of operational risk 1
Source
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ECONIS (ZBW) 1 RePEc 1
Showing 1 - 2 of 2
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Combining scenario and historical data in the loss distribution approach : a new procedure that incorporates measures of agreement between scenarios and historical data
Jongh, P. J. de; De Wet, Tertius; Raubenheimer, H.; … - In: The journal of operational risk 10 (2015) 1, pp. 45-76
Persistent link: https://www.econbiz.de/10011298876
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PARTICLE METHODS FOR THE ESTIMATION OF CREDIT PORTFOLIO LOSS DISTRIBUTIONS
CARMONA, RENÉ; CRÉPEY, STÉPHANE - In: International Journal of Theoretical and Applied … 13 (2010) 04, pp. 577-602
The goal of the paper is the numerical analysis of the performance of Monte Carlo simulation based methods for the computation of credit-portfolio loss-distributions in the context of Markovian intensity models of credit risk. We concentrate on two of the most frequently touted methods of...
Persistent link: https://www.econbiz.de/10008465483
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