Importance sampling for integrated market and credit portfolio models

DOI10.1016/j.ejor.2007.12.028zbMath1158.91378OpenAlexW2070314644MaRDI QIDQ953448

Peter Grundke

Publication date: 20 November 2008

Published in: European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.ejor.2007.12.028

zbMATH Keywords

importance samplingcredit riskvalue-at-riskinterest rate riskrisk managementbottom-up approach

Mathematics Subject Classification ID

Related Items (6)

Nonlinear valuation under credit, funding, and margins: existence, uniqueness, invariance, and disentanglement ⋮ Fast simulations in credit risk ⋮ Efficient estimation of large portfolio loss probabilities in \(t\)-copula models ⋮ NORTA for portfolio credit risk ⋮ Robust importance sampling for some typical types of utility-based shortfall risk measures using exponential twisting and kernel density techniques ⋮ Integrated bank risk modeling: a bottom-up statistical framework

Cites Work

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• Computational aspects of integrated market and credit portfolio models
• Variance Reduction Techniques for Estimating Value-at-Risk
• Importance Sampling for Portfolio Credit Risk
• Portfolio Credit Risk with Extremal Dependence: Asymptotic Analysis and Efficient Simulation
• On the Strong Law of Large Numbers and Related Results for Quasi-Stationary Sequences
• Applying importance sampling for estimating coherent credit risk contributions
• Rapid and accurate development of prices and Greeks fornth to default credit swaps in the Li model
• Integrated risk modelling
• Portfolio Value-at-Risk with Heavy-Tailed Risk Factors
• An equilibrium characterization of the term structure
• Analytical value-at-risk with jumps and credit risk

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