Large portfolio credit risk modeling

International Journal of Theoretical and Applied Finance

Volumn 10, Issue 4, 2007, Pages 653-678

  Davis, Mark H A ^a   Esparragoza Rodriguez, Juan Carlos ^b  

^a IMPERIAL COLLEGE LONDON   (United Kingdom)

^b MILLIMAN INC   (United States)

Author keywords

Functional central limit theorem; Functional law of large numbers; Quadratures; Stochastic network

Indexed keywords

EID: 34547271245     PISSN: 02190249     EISSN: None     Source Type: Journal    
DOI: 10.1142/S0219024907004378     Document Type: Article

References (21)

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