Sequential Importance Sampling and Resampling for Dynamic Portfolio Credit Risk

DOI10.1287/OPRE.1110.1008zbMath1241.91126OpenAlexW2129746273MaRDI QIDQ2892216

Shaojie Deng, Tze Leung Lai, Kay Giesecke

Publication date: 18 June 2012

Published in: Operations Research (Search for Journal in Brave)

Full work available at URL: https://semanticscholar.org/paper/29aa982d77f40514a06e40b12f986c2838864e65

zbMATH Keywords

portfolio credit riskrare-event simulationevent timing models

Mathematics Subject Classification ID

Portfolio theory (91G10) Credit risk (91G40)

Related Items (6)

Affine Point Processes: Approximation and Efficient Simulation ⋮ Systemic Risk and Default Clustering for Large Financial Systems ⋮ Simulating Risk Contributions of Credit Portfolios ⋮ Credit portfolios, credibility theory, and dynamic empirical Bayes ⋮ Estimating structural credit risk models when market prices are contaminated with noise ⋮ Monte Carlo Methods for Value-at-Risk and Conditional Value-at-Risk

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