Monte Carlo for large credit portfolios with potentially high correlations

Jose H. Blanchet, Jingchen Liu, Xuan Yang. Monte Carlo for large credit portfolios with potentially high correlations. In Proceedings of the 2010 Winter Simulation Conference, WSC 2010, Baltimore, Maryland, USA, 5-8 December 2010. pages 2810-2820, WSC, 2010. [doi]

Abstract

Abstract is missing.