Fast simulation for multifactor portfolio credit risk in the t-copula model

Proceedings - Winter Simulation Conference

Volumn 2005, Issue , 2005, Pages 1859-1868

  Kang, Wanmo ^a   Shahabuddin, Perwez ^b  

^a New Product Research   (United States)

^b Howard Hughes Medical Institute   (United States)

Author keywords

[No Author keywords available]

Indexed keywords

COMPUTER SIMULATION; FINANCE; NUMERICAL METHODS; RANDOM PROCESSES; RISK MANAGEMENT; SAMPLING;

MULTIFACTOR PORTFOLIO; MULTIVARIATE NORMAL; T-COPULA MODELS;

INDUSTRIAL ECONOMICS;

EID: 33846671207     PISSN: 08917736     EISSN: None     Source Type: Conference Proceeding    
DOI: 10.1109/WSC.2005.1574462     Document Type: Conference Paper

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