Efficient Simulation in Credit Portfolio with Skew Normal Factor
博士 === 國立政治大學 === 統計研究所 === 100 === Under a factor model, computation of the loss density function relies on the estimates of some mixture of the joint default probability and joint survival probability. Monte Carlo simulation is among the most widely used computational tools in such estimation. Nev...
| Main Authors: | , |
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| Other Authors: | |
| Format: | Others |
| Language: | zh-TW |
| Published: |
2012
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| Online Access: | http://ndltd.ncl.edu.tw/handle/hh2b4u |