Interacting particle systems for the computation of rare credit portfolio losses
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Bibliographic InfoArticle provided by Springer in its journal Finance and Stochastics.
Volume (Year): 13 (2009)
Issue (Month): 4 (September)
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Web page: http://www.springerlink.com/content/101164/
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- Morio, Jérôme & Jacquemart, Damien & Balesdent, Mathieu & Marzat, Julien, 2013. "Optimisation of interacting particle systems for rare event estimation," Computational Statistics & Data Analysis, Elsevier, vol. 66(C), pages 117-128.
- 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, Universita' degli Studi di Roma "La Sapienza".
- Konstantinos Spiliopoulos, 2014. "Systemic Risk and Default Clustering for Large Financial Systems," Papers 1402.5352, arXiv.org.
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