摘要 : This paper quantifies the credit risk loss distribution of the Spanish financial system by introducing a general Monte Carlo importance sampling (IS) approach. We start obtaining all the required information for the standard credi... 展开
作者 | Garcia-Cespedes~ Ruben Moreno~ Manuel |
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作者单位 | |
期刊名称 | 《Journal of banking & finance》 |
页码/总页数 | 242-261 / 20 |
语种 | 英语 |
关键词 | Monte Carlo Importance sampling Credit risk Risk allocation VaR Expected shortfall |
DOI | 10.1016/j.jbankfin.2014.09.019 |
馆藏号 | F-139 |