Efficient Monte Carlo methods for convex risk measures in portfolio credit risk models.

Jörn Dunkel Stefan Weber Efficient Monte Carlo methods for convex risk measures in portfolio credit risk models. 958-966 2007 Winter Simulation Conference http://doi.acm.org/10.1145/1351542.1351711 conf/wsc/2007 db/conf/wsc/wsc2007.html#DunkelW07