Abstract
As already mentioned in chapter 4, beside Fourier-based approaches, another efficiency enhancing computational approach developed for standard credit portfolio models is based on Monte Carlo simulations combined with variance reduction techniques. Most common is the application of importance sampling (IS) techniques.
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© 2008 Betriebswirtschaftlicher Verlag Dr. Th. Gabler | GWV Fachverlage GmbH, Wiesbaden
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(2008). Importance Sampling for Integrated Market and Credit Portfolio Models. In: Integrated Market and Credit Portfolio Models. Gabler. https://doi.org/10.1007/978-3-8349-9689-3_5
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DOI: https://doi.org/10.1007/978-3-8349-9689-3_5
Publisher Name: Gabler
Print ISBN: 978-3-8349-0875-9
Online ISBN: 978-3-8349-9689-3
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