Simulating Risk Contributions of Credit Portfolios
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Publication:3195233
DOI10.1287/opre.2015.1351zbMath1377.91165OpenAlexW2113997143MaRDI QIDQ3195233
Publication date: 22 October 2015
Published in: Operations Research (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1287/opre.2015.1351
Numerical methods (including Monte Carlo methods) (91G60) Monte Carlo methods (65C05) Credit risk (91G40)
Related Items (6)
Model-free computation of risk contributions in credit portfolios ⋮ Efficient algorithms for calculating risk measures and risk contributions in copula credit risk models ⋮ Sharp asymptotics for large portfolio losses under extreme risks ⋮ Large portfolio losses in a turbulent market ⋮ NORTA for portfolio credit risk ⋮ Estimation of risk contributions with MCMC
Cites Work
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- A Study on the Cross-Entropy Method for Rare-Event Probability Estimation
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- Pathwise Estimation of Probability Sensitivities Through Terminating or Steady-State Simulations
- Importance Sampling for Portfolio Credit Risk
- Conditional Monte Carlo Estimation of Quantile Sensitivities
- Fast Pricing of Basket Default Swaps
- Portfolio Credit Risk with Extremal Dependence: Asymptotic Analysis and Efficient Simulation
- Fast Simulation of Multifactor Portfolio Credit Risk
- PARTICLE METHODS FOR THE ESTIMATION OF CREDIT PORTFOLIO LOSS DISTRIBUTIONS
- Capital allocation for credit portfolios with kernel estimators
- Estimating Quantile Sensitivities
- AN AXIOMATIC APPROACH TO CAPITAL ALLOCATION
- On Information and Sufficiency
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