4 search results - page 1 / 1 » Efficient estimation of large portfolio loss probabilities i... |
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...
WSC
2008
13 years 7 months ago
2008
We consider a portfolio allocation problem where the objective function is a tail event such as probability of large portfolio losses. The dependence between assets is captured th...
IOR
2008
13 years 4 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...
IOR
2008
13 years 4 months ago
2008
We consider the risk of a portfolio comprised of loans, bonds, and financial instruments that are subject to possible default. In particular, we are interested in performance meas...