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    EOR
    2010
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    Efficient estimation of large portfolio loss probabilities in t-copula models
    13 years 5 months ago
    Efficient estimation of large portfolio loss probabilities in t-copula models
    Download  www.maths.uq.edu.au
    We consider the problem of accurately measuring the credit risk of a portfolio consisting of loans, bonds and other financial assets. One particular performance measure of interes...
    Joshua C. C. Chan, Dirk P. Kroese
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