Importance sampling for integrated market and credit portfolio models-Reference-Cited by-同舟云学术

Importance sampling for integrated market and credit portfolio models

Published:2009-04 Issue:1 Volume:194 Page:206-226
ISSN:0377-2217
Container-title:European Journal of Operational Research
language:en
Short-container-title:European Journal of Operational Research

Author:

Grundke Peter

Publisher

Elsevier BV

Subject

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

Reference52 articles.

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3. Bank of Japan, 2005. Advancing Integrated Risk Management. Tokyo; September.

4. Bringing credit portfolio modelling to maturity;Barco;Risk,2004

5. Modeling correlated market and credit risk in fixed income portfolios;Barnhill;Journal of Banking and Finance,2002

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