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Yue Kuen Kwok

Hong Kong University of Science & Technology (HKUST)

  • Hong Kong University of Science & Technology (HKUST)

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Scholarly Papers (1)

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Efficient Algorithms for Calculating Risk Measures and Risk Contributions in Copula Credit Models

Number of pages: 34 Posted: 01 Mar 2023
Zhenzhen Huang, Yue Kuen Kwok and Ziqing XU
University of Waterloo, Hong Kong University of Science & Technology (HKUST) and Hong Kong University of Science & Technology (HKUST)
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Abstract:

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copula credit models, marginal risk contributions, Monte Carlo simulation, importance sampling, saddlepoint approximation