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EOR
2010
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EOR 2010
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Efficient estimation of large portfolio loss probabilities in t-copula models
15 years 3 months ago
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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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