Rongda Chen, Ze Wang, Lean Yu. Importance Sampling for Credit Portfolio Risk with Risk Factors Having t-Copula. International Journal of Information Technology and Decision Making, 16(4):1101-1124, 2017. [doi]
@article{ChenWY17-1,
title = {Importance Sampling for Credit Portfolio Risk with Risk Factors Having t-Copula},
author = {Rongda Chen and Ze Wang and Lean Yu},
year = {2017},
doi = {10.1142/S0219622017500201},
url = {https://doi.org/10.1142/S0219622017500201},
researchr = {https://researchr.org/publication/ChenWY17-1},
cites = {0},
citedby = {0},
journal = {International Journal of Information Technology and Decision Making},
volume = {16},
number = {4},
pages = {1101-1124},
}