haku: @indexterm financial models / yhteensä: 494
viite: 12 / 494
| Tekijä: | Tchistiakov, V. Smet, J. de Hoogbruin, P. |
| Otsikko: | A credit loss control variable |
| Lehti: | Risk
2004 : JUL, VOL. 17:7, p. 81-85 |
| Asiasana: | asset management credit financial models risk simulation models |
| Kieli: | eng |
| Tiivistelmä: | This article aims to improve the efficiency of Monte Carlo simulation in valuing a portfolio of credit risky exposures by using the Vasicek distribution as a control variable. The authors show that this technique yields more accurate estimates, especially at low probabilities. |
SCIMA