PARTICLE METHODS FOR THE ESTIMATION OF CREDIT PORTFOLIO LOSS DISTRIBUTIONS

DOI10.1142/S0219024910005905MaRDI QIDQ3580185zbMATH OpenFDO

Authors Stéphane Crépey, René Carmona

Publication date 11 August 2010

Published in International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

zbMATH Keywords

importance samplinginteracting particle systemsrare eventscredit portfoliosloss distribution estimation

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Applications of statistics to actuarial sciences and financial mathematics (62P05) Numerical methods (including Monte Carlo methods) (91G60) Credit risk (91G40) Stochastic particle methods (65C35)

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Cites work

• scientific article; zbMATH DE number 1999206 (Why is no real title available?)
• Genealogical particle analysis of rare events
• Importance sampling for portfolio credit risk
• Interaction particle systems for the computation of rare credit portfolio losses
• LARGE DEVIATIONS IN MULTIFACTOR PORTFOLIO CREDIT RISK
• Mathematical aspects of signal processing
• Pricing and hedging of portfolio credit derivatives with interacting default intensities

Cited in

(13)

• Importance sampling for a simple Markovian intensity model using subsolutions
• An introduction to stochastic particle integration methods: with applications to risk and insurance
• Application of the interacting particle system method to piecewise deterministic Markov processes used in reliability
• Simulating risk contributions of credit portfolios
• Systemic risk and default clustering for large financial systems
• Optimisation of interacting particle systems for rare event estimation
• Simulation/Regression Pricing Schemes for CVA Computations on CDO Tranches
• Interaction particle systems for the computation of rare credit portfolio losses
• Stochastic local intensity loss models with interacting particle systems
• Affine point processes: approximation and efficient simulation
• Pathwise CVA regressions with oversimulated defaults
• An introduction to particle methods with financial applications
• Sequential importance sampling and resampling for dynamic portfolio credit risk

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