Importance Sampling: A Variance Reduction Method for Credit Risk Models

Gabriella Schoier, Federico Marsich. Importance Sampling: A Variance Reduction Method for Credit Risk Models. In Paolo Giudici, Salvatore Ingrassia, Maurizio Vichi, editors, Statistical Models for Data Analysis. Studies in Classification, Data Analysis, and Knowledge Organization, pages 333-342, Springer, 2013. [doi]

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