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"Importance Sampling for Portfolio Credit Risk."

Paul Glasserman, Jingyi Li (2005)

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DOI: 10.1287/MNSC.1050.0415

access: closed

type: Journal Article

metadata version: 2020-06-30

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  - journals/mansci/GlassermanL05
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  - https://dblp.org/rec/journals/mansci/GlassermanL05
Paul Glasserman, Jingyi Li:
Importance Sampling for Portfolio Credit Risk. Manag. Sci. 51(11): 1643-1656 (2005)

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