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]
@article{CuiTY24,
title = {Portfolio credit risk with Archimedean copulas: asymptotic analysis and efficient simulation},
author = {Hengxin Cui and Ken Seng Tan and Fan Yang},
year = {2024},
month = {January},
doi = {10.1007/s10479-022-04717-0},
url = {https://doi.org/10.1007/s10479-022-04717-0},
researchr = {https://researchr.org/publication/CuiTY24},
cites = {0},
citedby = {0},
journal = {Annals OR},
volume = {332},
number = {1},
pages = {55-84},
}