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Q&A : collaborating for change

Recurso electrónico / electronic resource
Section: Articles
Title: Q&A : collaborating for change / Mark PengellyAuthor: Pengelly, Mark
Notes: Sumario: Monte Carlo simulation of credit-risky portfolios can be computationally intensive when calculating risk measeures. Here, Mikhail Voropaev builds an analyitical framework for calculating value-at-risk and expected shortfall for these portolios that significantly reduces the required computationRelated records: En: Risk : risk management, derivatives, structured products. - Southwick, West Sussex : Incisive Financial Publishing, 2007- = ISSN 0952-8776. - 03/05/2011 Tomo 24 Número 5 - 2011 Materia / lugar / evento: Gerencia de riesgos Modelos analíticos Simulación Monte Carlo Matemática del seguro Modelos matemáticos Otros autores: Voropaev, Mikhail
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