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    2007
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    Efficient Monte Carlo methods for convex risk measures in portfolio credit risk models
    14 years 1 months ago
    Efficient Monte Carlo methods for convex risk measures in portfolio credit risk models
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    We discuss efficient Monte Carlo (MC) methods for the estimation of convex risk measures within the portfolio credit risk model CreditMetrics. Our focus lies on the Utilitybased ...
    Jörn Dunkel, Stefan Weber
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