Monte Carlo methods for portfolio credit risk

Brereton, Tim J., Kroese, Dirk P. and Chan, Joshua C. (2013). Monte Carlo methods for portfolio credit risk. In Daniel Rösch and Harald Scheule (Ed.), Credit securitisations and derivatives: challenges for the global markets (pp. 127-152) Chicester, United Kingdom: John Wiley & Sons.

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Name Description MIMEType Size Downloads
Author Brereton, Tim J.
Kroese, Dirk P.
Chan, Joshua C.
Title of chapter Monte Carlo methods for portfolio credit risk
Title of book Credit securitisations and derivatives: challenges for the global markets
Place of Publication Chicester, United Kingdom
Publisher John Wiley & Sons
Publication Year 2013
Sub-type Research book chapter (original research)
ISBN 9781119963967
Editor Daniel Rösch
Harald Scheule
Chapter number 7
Start page 127
End page 152
Total pages 26
Total chapters 19
Language eng
Q-Index Code BX
Q-Index Status Confirmed Code
Institutional Status UQ

Document type: Book Chapter
Collections: School of Mathematics and Physics
Non HERDC
 
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Created: Wed, 12 Jun 2013, 20:51:08 EST by Prof Dirk P. Kroese on behalf of School of Mathematics & Physics