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]
@inproceedings{BlanchetLY10,
title = {Monte Carlo for large credit portfolios with potentially high correlations},
author = {Jose H. Blanchet and Jingchen Liu and Xuan Yang},
year = {2010},
doi = {10.1109/WSC.2010.5678976},
url = {http://dx.doi.org/10.1109/WSC.2010.5678976},
researchr = {https://researchr.org/publication/BlanchetLY10},
cites = {0},
citedby = {0},
pages = {2810-2820},
booktitle = {Proceedings of the 2010 Winter Simulation Conference, WSC 2010, Baltimore, Maryland, USA, 5-8 December 2010},
publisher = {WSC},
}