Sunggon Kim

University of Seoul

Seoul

Korea, Republic of (South Korea)

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Scholarly Papers (1)

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Portfolio Credit Risk Model with Extremal Dependence of Defaults and Random Recovery

Journal of Credit Risk, Vol. 13, No. 2, 2017
Number of pages: 32 Posted: 23 Jun 2017
Jong-June Jeon, Sunggon Kim and Yonghee Lee
University of Seoul, University of Seoul and University of Seoul
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Abstract:

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Portfolio Credit Risk, Random Recovery, Extreme Loss Probability, Importance Sampling, Conditional Monte Carlo Simulation