Portfolio credit risk with Archimedean copulas: asymptotic analysis and efficient simulation

Hengxin Cui, Ken Seng Tan, Fan Yang. Portfolio credit risk with Archimedean copulas: asymptotic analysis and efficient simulation. Annals OR, 332(1):55-84, January 2024. [doi]

Authors

Hengxin Cui

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Ken Seng Tan

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Fan Yang

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