"New simulation methodology for risk analysis: importance sampling for a ..."

Paul Glasserman, Jingyi Li (2003)

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DOI: 10.1109/WSC.2003.1261433

access: closed

type: Conference or Workshop Paper

metadata version: 2023-03-24

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Paul Glasserman, Jingyi Li:
New simulation methodology for risk analysis: importance sampling for a mixed Poisson model of portfolio credit risk. WSC 2003: 267-275

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