PARTICLE METHODS FOR THE ESTIMATION OF CREDIT PORTFOLIO LOSS DISTRIBUTIONS
DOI10.1142/S0219024910005905zbMATH Open1233.91314MaRDI QIDQ3580185FDOQ3580185
Authors: Stéphane Crépey, René Carmona 
Publication date: 11 August 2010
Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)
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importance samplinginteracting particle systemsrare eventscredit portfoliosloss distribution estimation
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)
Cites Work
- Title not available (Why is that?)
- Interaction particle systems for the computation of rare credit portfolio losses
- Importance sampling for portfolio credit risk
- Pricing and hedging of portfolio credit derivatives with interacting default intensities
- Genealogical particle analysis of rare events
- LARGE DEVIATIONS IN MULTIFACTOR PORTFOLIO CREDIT RISK
- Mathematical aspects of signal processing
Cited In (12)
- An introduction to stochastic particle integration methods: with applications to risk and insurance
- Systemic risk and default clustering for large financial systems
- Stochastic local intensity loss models with interacting particle systems
- Simulating risk contributions of credit portfolios
- Sequential importance sampling and resampling for dynamic portfolio credit risk
- Optimisation of interacting particle systems for rare event estimation
- Simulation/Regression Pricing Schemes for CVA Computations on CDO Tranches
- Pathwise CVA regressions with oversimulated defaults
- An introduction to particle methods with financial applications
- Importance sampling for a simple Markovian intensity model using subsolutions
- Interaction particle systems for the computation of rare credit portfolio losses
- Affine point processes: approximation and efficient simulation
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