Efficient Importance Sampling Estimation for Joint Default Probability:The First Passage Time Problem

DOI10.1007/978-3-0348-0097-6_20zbMath1252.65006OpenAlexW1595202942MaRDI QIDQ2909991

Chuan-Hsiang Han

Publication date: 7 September 2012

Published in: Stochastic Analysis with Financial Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-0348-0097-6_20

zbMATH Keywords

samplinglarge deviation theoryefficient importanceprobability of joint defaultstructural-form model

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Large deviations (60F10) Credit risk (91G40)

Related Items (1)

Importance Sampling Estimation of Joint Default Probability under Structural-Form Models with Stochastic Correlation

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