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Interacting particle systems for the computation of rare credit portfolio losses

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Author Info

  • René Carmona

    ()

  • Jean-Pierre Fouque

    ()

  • Douglas Vestal

    ()

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    Abstract

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    File URL: http://hdl.handle.net/10.1007/s00780-009-0098-8
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    Bibliographic Info

    Article provided by Springer in its journal Finance and Stochastics.

    Volume (Year): 13 (2009)
    Issue (Month): 4 (September)
    Pages: 613-633
    Download reference. The following formats are available: HTML (with abstract), plain text (with abstract), BibTeX, RIS (EndNote, RefMan, ProCite), ReDIF
    Handle: RePEc:spr:finsto:v:13:y:2009:i:4:p:613-633

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    Web page: http://www.springerlink.com/content/101164/

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    For corrections or technical questions regarding this item, or to correct its listing, contact: (Guenther Eichhorn) or (Christopher F Baum).

    Related research

    Keywords: Interacting particle systems; Rare defaults; Monte Carlo methods; Credit derivatives; Variance reduction; 60H35; 91B70; C63;

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    Cited by:
    1. Fred E. Benth & Geir Dahl & Carlo Mannino, 2010. "Computing optimal recovery policies for financial markets," DIS Technical Reports 2010-20, Department of Computer, Control and Management Engineering, Università degli Studi di Roma "La Sapienza".

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