Optimally stratified importance sampling for portfolio risk with multiple loss thresholds-Reference-Cited by-同舟云学术

Optimally stratified importance sampling for portfolio risk with multiple loss thresholds

Published:2013-11 Issue:11 Volume:62 Page:1451-1471
ISSN:0233-1934
Container-title:Optimization
language:en
Short-container-title:Optimization

Author:

Başoğlu İsmail,Hörmann Wolfgang,Sak Halis

Publisher

Informa UK Limited

Subject

Applied Mathematics,Management Science and Operations Research,Control and Optimization

Link

http://www.tandfonline.com/doi/pdf/10.1080/02331934.2013.852547

Reference23 articles.

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3. Portfolio Credit Risk with Extremal Dependence: Asymptotic Analysis and Efficient Simulation

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