LARGE DEVIATIONS IN MULTIFACTOR PORTFOLIO CREDIT RISK
From MaRDI portal
Publication:5427660
DOI10.1111/j.1467-9965.2006.00307.xzbMath1186.91227MaRDI QIDQ5427660
Wanmo Kang, Perwez Shahabuddin, Paul Glasserman
Publication date: 21 November 2007
Published in: Mathematical Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1111/j.1467-9965.2006.00307.x
Related Items
Systemic Risk and Default Clustering for Large Financial Systems, LARGE PORTFOLIO ASYMPTOTICS FOR LOSS FROM DEFAULT, Haar wavelets-based approach for quantifying credit portfolio losses, Default Clustering in Large Pools: Large Deviations, Monte Carlo Methods for Value-at-Risk and Conditional Value-at-Risk, The Topology of Central Counterparty Clearing Networks and Network Stability, Fast simulations in credit risk, Sample-path large deviations in credit risk, Multilevel simulation of functionals of Bernoulli random variables with application to basket credit derivatives, Recovery rates in investment-grade pools of credit assets: a large deviations analysis, Sharp asymptotics for large portfolio losses under extreme risks, Efficient estimation of large portfolio loss probabilities in \(t\)-copula models, Default clustering in large portfolios: typical events, Comparing the value at risk performance of the CreditRisk\(^+\) and its enhancement: a large deviations approach, NO-ARMAGEDDON MEASURE FOR ARBITRAGE-FREE PRICING OF INDEX OPTIONS IN A CREDIT CRISIS, PARTICLE METHODS FOR THE ESTIMATION OF CREDIT PORTFOLIO LOSS DISTRIBUTIONS, EXACT PRICING ASYMPTOTICS OF INVESTMENT-GRADE TRANCHES OF SYNTHETIC CDO'S: A LARGE HOMOGENEOUS POOL
Uses Software
Cites Work