Efficient simulations for a Bernoulli mixture model of portfolio credit risk

Ismail Basoglu, Wolfgang Hörmann, Halis Sak. Efficient simulations for a Bernoulli mixture model of portfolio credit risk. Annals OR, 260(1-2):113-128, 2018. [doi]

Authors

Ismail Basoglu

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Wolfgang Hörmann

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Halis Sak

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