"Fast simulation for multifactor portfolio credit risk in the ..."

Wanmo Kang, Perwez Shahabuddin (2005)

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DOI: 10.1109/WSC.2005.1574462

access: closed

type: Conference or Workshop Paper

metadata version: 2021-06-10

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Wanmo Kang, Perwez Shahabuddin:
Fast simulation for multifactor portfolio credit risk in the t-copula model. WSC 2005: 1859-1868

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