Interaction particle systems for the computation of rare credit portfolio losses

DOI10.1007/s00780-009-0098-8zbMath1199.91248MaRDI QIDQ964695

Jean-Pierre Fouque, Douglas Vestal, René A. Carmona

Publication date: 22 April 2010

Published in: Finance and Stochastics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00780-009-0098-8

zbMATH Keywords

Monte Carlo methods; variance reduction; credit derivatives; Interacting particle systems; rare defaults

Mathematics Subject Classification ID

91G60: Numerical methods (including Monte Carlo methods)

60K35: Interacting random processes; statistical mechanics type models; percolation theory

60H35: Computational methods for stochastic equations (aspects of stochastic analysis)

91G40: Credit risk

Related Items

Systemic Risk and Default Clustering for Large Financial Systems, Discrete-time control for systems of interacting objects with unknown random disturbance distributions: a mean field approach, Control systems of interacting objects modeled as a game against nature under a mean field approach, Optimisation of interacting particle systems for rare event estimation, Snell envelope with small probability criteria, Sequential Monte Carlo samplers for capital allocation under copula-dependent risk models, Feynman-Kac Particle Integration with Geometric Interacting Jumps, Stochastic evolution equations driven by Liouville fractional Brownian motion, An Introduction to Particle Methods with Financial Applications, Simulating Risk Contributions of Credit Portfolios, PARTICLE METHODS FOR THE ESTIMATION OF CREDIT PORTFOLIO LOSS DISTRIBUTIONS

Cites Work

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