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Monte sign in to follow this
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Credit Risk Monte Carlo Simulation Using Simplified Creditmetrics Model: The Joint Use of Importance
Year Of Publication: 2007
Month Of Publication: March
Pages: 25
Download Count: 312
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Comment Num: 0
Language: EN
Source:
Who Can Read: Free
Date: 9-22-2007
Publisher: Administrator
Summary
Monte Carlo simulation is implemented in some of the main models for estimating portfolio credit risk. This paper tries to improve the precision gains obtained by importance sampling over the CreditMetrics model.
Author(s)
Terra, Jaqueline Sign in to follow this author
Saliby, Eduardo Sign in to follow this author
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