Sequential Importance Sampling and Resampling for Dynamic Portfolio Credit Risk
From MaRDI portal
Publication:2892216
DOI10.1287/OPRE.1110.1008zbMath1241.91126OpenAlexW2129746273MaRDI QIDQ2892216
Shaojie Deng, Tze Leung Lai, Kay Giesecke
Publication date: 18 June 2012
Published in: Operations Research (Search for Journal in Brave)
Full work available at URL: https://semanticscholar.org/paper/29aa982d77f40514a06e40b12f986c2838864e65
Related Items (6)
Affine Point Processes: Approximation and Efficient Simulation ⋮ Systemic Risk and Default Clustering for Large Financial Systems ⋮ Simulating Risk Contributions of Credit Portfolios ⋮ Credit portfolios, credibility theory, and dynamic empirical Bayes ⋮ Estimating structural credit risk models when market prices are contaminated with noise ⋮ Monte Carlo Methods for Value-at-Risk and Conditional Value-at-Risk
This page was built for publication: Sequential Importance Sampling and Resampling for Dynamic Portfolio Credit Risk