PARTICLE METHODS FOR THE ESTIMATION OF CREDIT PORTFOLIO LOSS DISTRIBUTIONS

DOI10.1142/S0219024910005905zbMath1233.91314MaRDI QIDQ3580185

Stéphane Crépey, René A. Carmona

Publication date: 11 August 2010

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

zbMATH Keywords

importance samplingrare eventsinteracting particle systemscredit portfoliosloss distribution estimation

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Numerical methods (including Monte Carlo methods) (91G60) Monte Carlo methods (65C05) Credit risk (91G40) Stochastic particle methods (65C35)

Related Items (7)

An Introduction to Particle Methods with Financial Applications ⋮ Affine Point Processes: Approximation and Efficient Simulation ⋮ Systemic Risk and Default Clustering for Large Financial Systems ⋮ Simulating Risk Contributions of Credit Portfolios ⋮ Pathwise CVA regressions with oversimulated defaults ⋮ Simulation/Regression Pricing Schemes for CVA Computations on CDO Tranches ⋮ Optimisation of interacting particle systems for rare event estimation

Cites Work

• Unnamed Item
• Interaction particle systems for the computation of rare credit portfolio losses
• Genealogical particle analysis of rare events
• Importance Sampling for Portfolio Credit Risk
• PRICING AND HEDGING OF PORTFOLIO CREDIT DERIVATIVES WITH INTERACTING DEFAULT INTENSITIES
• LARGE DEVIATIONS IN MULTIFACTOR PORTFOLIO CREDIT RISK
• The Mathematics of Signal Processing

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