"Portfolio credit risk with Archimedean copulas: asymptotic analysis and ..."

Hengxin Cui, Ken Seng Tan, Fan Yang (2024)

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DOI: 10.1007/S10479-022-04717-0

access: closed

type: Journal Article

metadata version: 2024-03-16

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Hengxin Cui, Ken Seng Tan, Fan Yang:
Portfolio credit risk with Archimedean copulas: asymptotic analysis and efficient simulation. Ann. Oper. Res. 332(1): 55-84 (2024)

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