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]

References

No references recorded for this publication.

Cited by

No citations of this publication recorded.