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"Fast Simulation of Multifactor Portfolio Credit Risk."

Paul Glasserman, Wanmo Kang, Perwez Shahabuddin (2008)

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DOI: 10.1287/OPRE.1080.0558

access: closed

type: Journal Article

metadata version: 2020-03-31

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  - journals/ior/GlassermanKS08
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  - https://dblp.org/rec/journals/ior/GlassermanKS08
Paul Glasserman, Wanmo Kang, Perwez Shahabuddin:
Fast Simulation of Multifactor Portfolio Credit Risk. Oper. Res. 56(5): 1200-1217 (2008)

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