Efficient estimation of large portfolio loss probabilities in t-copula models-Reference-Cited by-同舟云学术

Efficient estimation of large portfolio loss probabilities in t-copula models

Published:2010-09 Issue:2 Volume:205 Page:361-367
ISSN:0377-2217
Container-title:European Journal of Operational Research
language:en
Short-container-title:European Journal of Operational Research

Author:

Chan Joshua C.C.,Kroese Dirk P.

Publisher

Elsevier BV

Subject

Information Systems and Management,Management Science and Operations Research,Modeling and Simulation,General Computer Science,Industrial and Manufacturing Engineering

Reference26 articles.

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