Exact and efficient simulation of correlated defaults.

DOI10.1137/090778055MaRDI QIDQ7405665zbMATH OpenFDO

Authors Kay Giesecke, H. Kakavand, M. Mousavi, H. Takada

Publication date 2010

Published in SIAM Journal on Financial Mathematics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1137/090778055

Mathematics Subject Classification ID

Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55) Continuous-time Markov processes on discrete state spaces (60J27) Monte Carlo methods (65C05) Credit risk (91G40) Numerical methods (including Monte Carlo methods) (91G60)

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