Fast simulations in credit risk

DOI10.1080/14697688.2011.564199zbMath1279.91186MaRDI QIDQ5745630

Halis Sak, Wolfgang Hörmann

Publication date: 30 January 2014

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697688.2011.564199

zbMATH Keywords

Monte Carlo methods; variance reduction; credit risk; expected shortfall; geometric shortcut

Mathematics Subject Classification ID

91G60: Numerical methods (including Monte Carlo methods)

91G40: Credit risk

Related Items

Optimally stratified importance sampling for portfolio risk with multiple loss thresholds, Stratified importance sampling for a Bernoulli mixture model of portfolio credit risk, Efficient simulations for a Bernoulli mixture model of portfolio credit risk, Credit risk contagion based on asymmetric information association

Cites Work

• Importance sampling for integrated market and credit portfolio models
• Quantile estimation with adaptive importance sampling
• Asymptotically Optimal Importance Sampling and Stratification for Pricing Path-Dependent Options
• Importance Sampling for Portfolio Credit Risk
• Portfolio Credit Risk with Extremal Dependence: Asymptotic Analysis and Efficient Simulation
• Fast Simulation of Multifactor Portfolio Credit Risk
• Resource Allocation Among Simulation Time Steps
• The Asymptotic Efficiency of Simulation Estimators
• Uniformly Efficient Importance Sampling for the Tail Distribution of Sums of Random Variables
• LARGE DEVIATIONS IN MULTIFACTOR PORTFOLIO CREDIT RISK