University of Cambridge - Department of Engineering
Importance Sampling; Trans-dimensional Markov Chain Monte Carlo; Basel II Advanced Measurement Approach; Panjer Recursions; Volterra Integral Equations; Compound Processes; Loss Distributional Approach; Operational Risk; Value at Risk; Expected Shortfall
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Multi-factor, Commodity, spot price, Stochastic volatility, Milstein, Adaptive Markov chain Monte Carlo, Particle filter, Rao-Blackwellization
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