10 search results - page 2 / 2 » Fast Simulation of Multifactor Portfolio Credit Risk |
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...
FCCM
2008
IEEE
13 years 11 months ago
2008
IEEE
The recent turmoil in global credit markets has demonstrated the need for advanced modelling of credit risk, which can take into account the effects of changing economic condition...
FPL
2008
Springer
13 years 6 months ago
2008
Springer
In recent years the financial world has seen an increasing demand for faster risk simulations, driven by growth in client portfolios. Traditionally many financial models employ Mo...
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
2000
13 years 6 months ago
2000
The calculation of value-at-risk (VAR) for large portfolios of complex instruments is among the most demanding and widespread computational challenges facing the financial industr...