Estimating the distribution of total default losses on the Spanish financial system
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More about this item
KeywordsMonte Carlo; Importance sampling; Credit risk; Risk allocation; VaR; Expected shortfall; C15; C63; G21;
- C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General
- C63 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Computational Techniques
- G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages
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