Sciweavers

Share
WSC
2007

Efficient Monte Carlo methods for convex risk measures in portfolio credit risk models

4 years 29 days ago
Efficient Monte Carlo methods for convex risk measures in portfolio credit risk models
We discuss efficient Monte Carlo (MC) methods for the estimation of convex risk measures within the portfolio credit risk model CreditMetrics. Our focus lies on the Utilitybased Shortfall Risk (SR) measures, as these avoid several deficiencies of the current industry standard Value-at-Risk (VaR). It is demonstrated that the importance sampling method exponential twisting provides computationally efficient SR estimators. Numerical simulations of test portfolios illustrate the good performance of the proposed algorithms.
Jörn Dunkel, Stefan Weber
Added 02 Oct 2010
Updated 02 Oct 2010
Type Conference
Year 2007
Where WSC
Authors Jörn Dunkel, Stefan Weber
Comments (0)
books