9 search results - page 1 / 2 » Nested Simulation in Portfolio Risk Measurement |
MANSCI
2010
13 years 3 months ago
2010
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 ...
IOR
2008
13 years 5 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...
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
2004
13 years 6 months ago
2004
Determination of credit portfolio loss distributions is essential for the valuation and risk management of multiname credit derivatives such as CDOs. The default time model has re...