Fast simulations in credit risk

DOI10.1080/14697688.2011.564199zbMath1279.91186OpenAlexW2058126714MaRDI QIDQ5745630

Halis Sak, Wolfgang Hörmann

Publication date: 30 January 2014

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

Full work available at URL: https://doi.org/10.1080/14697688.2011.564199

zbMATH Keywords

Monte Carlo methodsvariance reductioncredit riskexpected shortfallgeometric shortcut

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Credit risk (91G40)

Related Items (4)

Stratified importance sampling for a Bernoulli mixture model of portfolio credit risk ⋮ Efficient simulations for a Bernoulli mixture model of portfolio credit risk ⋮ Optimally stratified importance sampling for portfolio risk with multiple loss thresholds ⋮ Credit risk contagion based on asymmetric information association

Cites Work

• Importance sampling for integrated market and credit portfolio models
• Quantile estimation with adaptive importance sampling
• Asymptotically Optimal Importance Sampling and Stratification for Pricing Path-Dependent Options
• Importance Sampling for Portfolio Credit Risk
• Portfolio Credit Risk with Extremal Dependence: Asymptotic Analysis and Efficient Simulation
• Fast Simulation of Multifactor Portfolio Credit Risk
• Resource Allocation Among Simulation Time Steps
• The Asymptotic Efficiency of Simulation Estimators
• Uniformly Efficient Importance Sampling for the Tail Distribution of Sums of Random Variables
• LARGE DEVIATIONS IN MULTIFACTOR PORTFOLIO CREDIT RISK

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