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Showing results 1 to 4 of 4

1
Fast Simulation of Multifactor Portfolio Credit Risk

Glasserman, Paul; Kang, Wanmo; Shahabuddin, Perwez, OPERATIONS RESEARCH, v.56, no.5, pp.1200 - 1217, 2008-09

2
Large deviations in multifactor portfolio credit risk

Glasserman, Paul; Kang, Wanmo; Shahabuddin, Perwez, MATHEMATICAL FINANCE, v.17, no.3, pp.345 - 379, 2007-07

3
OR Forum-Design of Risk Weights

Glasserman, Paul; Kang, Wanmo, OPERATIONS RESEARCH, v.62, no.6, pp.1204 - 1220, 2014-11

4
Stress scenario selection by empirical likelihood

Glasserman, Paul; Kang, Chulmin; Kang, Wan-Mo, QUANTITATIVE FINANCE, v.15, no.1, pp.25 - 41, 2015-01

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