Fast Simulation of Multifactor Portfolio Credit Risk

DOI10.1287/opre.1080.0558zbMath1167.91369OpenAlexW2160994917MaRDI QIDQ3392241

Paul Glasserman, Wanmo Kang, Perwez Shahabuddin

Publication date: 13 August 2009

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

Full work available at URL: https://semanticscholar.org/paper/606fc175eed0ceddbfe619d45a98c6b42c55d273

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Large deviations (60F10) Credit risk (91G40)

Related Items (14)

Computation of credit portfolio loss distribution by a cross entropy method ⋮ Simulating Risk Contributions of Credit Portfolios ⋮ Large deviations for affine diffusion processes on \(\mathbb R_+^m \times\mathbb R^n\) ⋮ Stratified importance sampling for a Bernoulli mixture model of portfolio credit risk ⋮ Generalized Integrated Brownian Fields for Simulation Metamodeling ⋮ Sharp asymptotics for large portfolio losses under extreme risks ⋮ Fast simulations in credit risk ⋮ Efficient estimation of large portfolio loss probabilities in \(t\)-copula models ⋮ Adaptive integration for multi-factor portfolio credit loss models ⋮ Large portfolio losses in a turbulent market ⋮ NORTA for portfolio credit risk ⋮ Online Risk Monitoring Using Offline Simulation ⋮ Mortality Risk Management Under the Factor Copula Framework—With Applications to Insurance Policy Pools ⋮ Monte Carlo Methods for Value-at-Risk and Conditional Value-at-Risk

This page was built for publication: Fast Simulation of Multifactor Portfolio Credit Risk