{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2023,4,17]],"date-time":"2023-04-17T11:38:17Z","timestamp":1681731497064},"reference-count":0,"publisher":"Walter de Gruyter GmbH","issue":"4","funder":[{"name":"Austrian Science Fund","award":["Project F5507-N26"],"award-info":[{"award-number":["Project F5507-N26"]}]}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":[],"published-print":{"date-parts":[[2014,12,1]]},"abstract":"<jats:title>Abstract<\/jats:title>\n               <jats:p>In this paper we analyze and compare the use of Monte Carlo, quasi-Monte Carlo and hybrid Monte Carlo methods in the credit risk management system \u201cCredit Metrics\u201d by J. P. Morgan. We show that hybrid sequences, used suitably for simulations, perform better, in many relevant situations, than pure Monte Carlo and pure quasi-Monte Carlo methods, and they only rarely perform worse than these methods.<\/jats:p>","DOI":"10.1515\/mcma-2014-0004","type":"journal-article","created":{"date-parts":[[2014,10,20]],"date-time":"2014-10-20T17:01:34Z","timestamp":1413824494000},"page":"245-260","source":"Crossref","is-referenced-by-count":2,"title":["Hybrid Monte Carlo methods in credit risk management"],"prefix":"10.1515","volume":"20","author":[{"given":"Lucia","family":"Del Chicca","sequence":"first","affiliation":[{"name":"Institut f\u00fcr Finanzmathematik, Universit\u00e4t Linz, Altenbergerstra\u00dfe 69, Science Park Bauteil 2, A-4040 Linz, Austria"}],"role":[{"role":"author","vocabulary":"crossref"}]},{"given":"Gerhard","family":"Larcher","sequence":"additional","affiliation":[{"name":"Institut f\u00fcr Finanzmathematik, Universit\u00e4t Linz, Altenbergerstra\u00dfe 69, Science Park Bauteil 2, A-4040 Linz, Austria"}],"role":[{"role":"author","vocabulary":"crossref"}]}],"member":"374","published-online":{"date-parts":[[2014,10,18]]},"container-title":["Monte Carlo Methods and Applications"],"original-title":[],"language":"en","link":[{"URL":"https:\/\/www.degruyter.com\/document\/doi\/10.1515\/mcma-2014-0004\/xml","content-type":"application\/xml","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/www.degruyter.com\/document\/doi\/10.1515\/mcma-2014-0004\/pdf","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,4,1]],"date-time":"2023-04-01T22:35:53Z","timestamp":1680388553000},"score":1,"resource":{"primary":{"URL":"https:\/\/www.degruyter.com\/document\/doi\/10.1515\/mcma-2014-0004\/html"}},"subtitle":[],"short-title":[],"issued":{"date-parts":[[2014,10,18]]},"references-count":0,"journal-issue":{"issue":"4","published-online":{"date-parts":[[2014,9,13]]},"published-print":{"date-parts":[[2014,12,1]]}},"alternative-id":["10.1515\/mcma-2014-0004"],"URL":"https:\/\/doi.org\/10.1515\/mcma-2014-0004","relation":{},"ISSN":["0929-9629","1569-3961"],"issn-type":[{"value":"0929-9629","type":"print"},{"value":"1569-3961","type":"electronic"}],"subject":[],"published":{"date-parts":[[2014,10,18]]}}}