Sensitivity estimates for portfolio credit derivatives using Monte Carlo
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KeywordsSensitivity calculation; Credit derivatives; Monte Carlo simulation; Efficiency; Pathwise method; 91B28; 65C05; G13; G32; C15;
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
- G32 - Financial Economics - - Corporate Finance and Governance - - - Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill
- C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General
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