8 search results - page 2 / 2 » Calibrating Credit Portfolio Loss Distributions |
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...
SIAMFM
2011
12 years 8 months ago
2011
As shown by the recent turmoil in credit markets, much remains to be done for the proper risk management of credit derivatives. In particular, the static copula-based models commo...
EOR
2010
13 years 5 months ago
2010
We consider the problem of accurately measuring the credit risk of a portfolio consisting of loans, bonds and other financial assets. One particular performance measure of interes...