4 search results - page 1 / 1 » An Importance Sampling Method for Portfolios of Credit Risky... |
WSC
2004
13 years 6 months ago
2004
The distribution of possible future losses for a portfolio of credit risky corporate assets, such as bonds or loans, shows strongly asymmetric behavior and a fat tail as the conse...
WSC
2004
13 years 6 months ago
2004
The distribution of possible future losses for a portfolio of credit risky corporate assets, such as bonds or loans, shows strongly asymmetric behavior and a fat tail as the conse...
IOR
2008
13 years 5 months ago
2008
This paper develops rare event simulation methods for the estimation of portfolio credit risk -- the risk of losses to a portfolio resulting from defaults of assets in the portfol...
WSC
2007
13 years 7 months ago
2007
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 ...