Lei Lei

Chongqing University

Shazheng Str 174, Shapingba District

Shazheng street, Shapingba district

Chongqing 400044, Chongqing 400030

China

  • Chongqing University

SCHOLARLY PAPERS

2

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147

SSRN CITATIONS

4

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Scholarly Papers (2)

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1.

Sensitivity Analysis of Portfolio Credit Derivatives by Conditional Monte Carlo Simulation

Number of pages: 26 Posted: 20 Jun 2019
Lei Lei, Yijie Peng, Michael Fu and Jianqiang Hu
Chongqing University, Peking University, University of Maryland - College Park and Fudan University
Downloads 89 (452,487)
Citation 4

Abstract:

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

2.

Estimating Confidence Intervals and Regions for Quantiles by Monte Carlo Simulation

Number of pages: 46 Posted: 18 Nov 2021
Lei Lei, Christos Alexopoulos, Yijie Peng and James R. Wilson
Chongqing University, Georgia Institute of Technology, Peking University and affiliation not provided to SSRN
Downloads 58 (572,242)

Abstract:

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Monte Carlo simulation, quantiles, confidence intervals, confidence regions, sensitivity analysis