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An Importance Sampling Method for Expectation of Portfolio Credit Risk
An Importance Sampling Method for Expectation of Portfolio Credit Risk
2015
Yue Qiu
Chuansheng Wang
Keywords:
Importance sampling
Portfolio optimization
Credit risk
Expected shortfall
Finance
Financial economics
Credit valuation adjustment
Post-modern portfolio theory
Business
Portfolio
importance sampling method
portfolio credit risk
Actuarial science
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