Importance sampling for integrated market and credit portfolio models
type: Item
instance of: scholarly article
title: Importance sampling for integrated market and credit portfolio models
zbMATH Open document ID: 1158.91378
author: Peter Grundke
published in: European Journal of Operational Research
publication date: 2008-11-20T00:00:00Z
Mathematics Subject Classification ID: 91B28
Mathematics Subject Classification ID: 91B30
zbMATH DE Number: 5370068
zbMATH Keywords: bottom-up approach
zbMATH Keywords: credit risk
zbMATH Keywords: importance sampling
zbMATH Keywords: interest rate risk
zbMATH Keywords: risk management
zbMATH Keywords: value-at-risk
MaRDI profile type: Publication
full work available at URL: j.ejor.2007.12.028
OpenAlex ID: W2070314644
cites work: Portfolio Credit Risk with Extremal Dependence: Asymptotic Analysis and Efficient Simulation
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cites work: Q4433608
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cites work: Rapid and accurate development of prices and Greeks fornth to default credit swaps in the Li model
cites work: Applying importance sampling for estimating coherent credit risk contributions
cites work: On the Strong Law of Large Numbers and Related Results for Quasi-Stationary Sequences
cites work: An equilibrium characterization of the term structure
DOI: 10.1016/J.EJOR.2007.12.028
description: scientific article; zbMATH DE number 5370068