Lei Lei

Chongqing University

Shazheng Str 174, Shapingba District

Chongqing 400044, Chongqing 400030

China

SCHOLARLY PAPERS

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Scholarly Papers (1)

1.

Sensitivity Analysis of Portfolio Credit Derivatives by Conditional Monte Carlo Simulation

Number of pages: 26 Posted: 20 Jun 2019
Chongqing University, Department of Industrial Engineering and Management, Peking University, University of Maryland - College Park and Fudan University
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Citation 4

Abstract:

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simulation, stochastic gradient estimation, credit derivative, conditional Monte Carlo, copula model