Fast simulations in credit risk
From MaRDI portal
Publication:5745630
DOI10.1080/14697688.2011.564199zbMath1279.91186MaRDI QIDQ5745630
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
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