Centro de Documentación de Fundación MAPFRE - Q&A : collaborating for change

MAP20110039448

Q&A : collaborating for change / Mark Pengelly

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 computation

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

1. Gerencia de riesgos . 2. Modelos analíticos . 3. Simulación Monte Carlo . 4. Matemática del seguro . 5. Modelos matemáticos . I. Voropaev, Mikhail .