Estimating Sensitivities of Portfolio Credit Risk Using Monte Carlo

DOI10.1287/ijoc.2014.0602zbMath1304.91232OpenAlexW2114250179MaRDI QIDQ2940072

L. Jeff Hong, Jun Luo, Sandeep Juneja

Publication date: 26 January 2015

Published in: INFORMS Journal on Computing (Search for Journal in Brave)

Full work available at URL: https://semanticscholar.org/paper/11e756684322592a25a4b3a394ddd8835c91e7ec

zbMATH Keywords

Monte Carlo simulationsensitivity estimationconditioning techniques

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Numerical methods for initial value problems involving ordinary differential equations (65L05) Credit risk (91G40)

Related Items (7)

An efficient acceleration Monte Carlo simulation for pricing Asian option under variance gamma process by splitting ⋮ Simulating Risk Contributions of Credit Portfolios ⋮ Copula sensitivity analysis for portfolio credit derivatives ⋮ Unnamed Item ⋮ On the optimal design of the randomized unbiased Monte Carlo estimators ⋮ A systematic and efficient simulation scheme for the Greeks of financial derivatives ⋮ Sensitivity estimation of conditional value at risk using randomized quasi-Monte Carlo

Uses Software

• CreditRisk+

Cites Work

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