Interaction particle systems for the computation of rare credit portfolio losses (Q964695): Difference between revisions
From MaRDI portal
Created a new Item |
ReferenceBot (talk | contribs) Changed an Item |
||
(5 intermediate revisions by 4 users not shown) | |||
Property / author | |||
Property / author: René A. Carmona / rank | |||
Property / author | |||
Property / author: René A. Carmona / rank | |||
Normal rank | |||
Property / MaRDI profile type | |||
Property / MaRDI profile type: MaRDI publication profile / rank | |||
Normal rank | |||
Property / full work available at URL | |||
Property / full work available at URL: https://doi.org/10.1007/s00780-009-0098-8 / rank | |||
Normal rank | |||
Property / OpenAlex ID | |||
Property / OpenAlex ID: W2126661632 / rank | |||
Normal rank | |||
Property / cites work | |||
Property / cites work: A Continuity Correction for Discrete Barrier Options / rank | |||
Normal rank | |||
Property / cites work | |||
Property / cites work: Q4819702 / rank | |||
Normal rank | |||
Property / cites work | |||
Property / cites work: Genealogical particle analysis of rare events / rank | |||
Normal rank | |||
Property / cites work | |||
Property / cites work: Stochastic Volatility Effects on Defaultable Bonds / rank | |||
Normal rank | |||
Property / cites work | |||
Property / cites work: Q4433608 / rank | |||
Normal rank | |||
Property / cites work | |||
Property / cites work: Importance Sampling for Portfolio Credit Risk / rank | |||
Normal rank | |||
Property / cites work | |||
Property / cites work: Q3615960 / rank | |||
Normal rank | |||
links / mardi / name | links / mardi / name | ||
Latest revision as of 18:02, 2 July 2024
scientific article
Language | Label | Description | Also known as |
---|---|---|---|
English | Interaction particle systems for the computation of rare credit portfolio losses |
scientific article |
Statements
Interaction particle systems for the computation of rare credit portfolio losses (English)
0 references
22 April 2010
0 references
The authors follow the interacting particle system (IPS) approach and adapt it to the computation of loss probabilities for large credit portfolios. The interest to this problem is motivated by the uncontrolled growth of the market of collaterized debt obligations. The authors give an overview of Feynman-Kac measures on genealogical path spaces and the associated IPS interpretation. The loss process model for large credit portfolios is a discretized version of the standard first passage model of the structural approach. An algorithm for the solution is provided and its implementation is described in detail in the case of this stochastic volatility first passage structural model. Numerical results are obtained and discussed. The efficiency of the method is demonstrated in situations where importance sampling is impossible or numerically instable.
0 references
Interacting particle systems
0 references
rare defaults
0 references
Monte Carlo methods
0 references
credit derivatives
0 references
variance reduction
0 references