𝔖 Bobbio Scriptorium
✦   LIBER   ✦

Sensitivity estimates for portfolio credit derivatives using Monte Carlo

✍ Scribed by Zhiyong Chen; Paul Glasserman

Book ID
106235732
Publisher
Springer-Verlag
Year
2008
Tongue
English
Weight
775 KB
Volume
12
Category
Article
ISSN
0949-2984

No coin nor oath required. For personal study only.

πŸ“œ SIMILAR VOLUMES

Monte Carlo probabilistic sensitivity an
Monte Carlo probabilistic sensitivity analysis for patient level simulation models: efficient estimation of mean and variance using ANOVA
✍ Anthony O'Hagan; Matt Stevenson; Jason Madan πŸ“‚ Article πŸ“… 2007 πŸ› John Wiley and Sons 🌐 English βš– 185 KB

## Abstract Probabilistic sensitivity analysis (PSA) is required to account for uncertainty in cost‐effectiveness calculations arising from health economic models. The simplest way to perform PSA in practice is by Monte Carlo methods, which involves running the model many times using randomly sampl