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"Metamodel of a Large Credit Risk Portfolio in the Gaussian Copula Model."

Florian Bourgey, Emmanuel Gobet, Clément Rey (2020)

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DOI: 10.1137/19M1292084

access: closed

type: Journal Article

metadata version: 2023-02-12

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  - journals/siamfm/BourgeyGR20
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  - https://dblp.org/rec/journals/siamfm/BourgeyGR20
Florian Bourgey, Emmanuel Gobet, Clément Rey:
Metamodel of a Large Credit Risk Portfolio in the Gaussian Copula Model. SIAM J. Financial Math. 11(4): 1098-1136 (2020)

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