Applying importance sampling for estimating coherent credit risk contributions

DOI10.1080/14697680400000024zbMath1405.91671OpenAlexW4253308245MaRDI QIDQ4610226

Mark A. Nyfeler, Sandro Merino

Publication date: 15 January 2019

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697680400000024

zbMATH Keywords

Monte Carloimportance samplingcredit portfolio risk

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Credit risk (91G40)

Related Items (4)

Stratified importance sampling for a Bernoulli mixture model of portfolio credit risk ⋮ Efficient algorithms for calculating risk measures and risk contributions in copula credit risk models ⋮ Importance sampling for integrated market and credit portfolio models ⋮ EFFICIENT RISK MEASURES CALCULATIONS FOR GENERALIZED CREDITRISK+ MODELS

Uses Software

• CreditRisk+

Cites Work

• Large portfolio losses
• Coherent Measures of Risk
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item

This page was built for publication: Applying importance sampling for estimating coherent credit risk contributions