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IOR
2008
126views more  IOR 2008»
9 years 9 months ago
Fast Simulation of Multifactor Portfolio Credit Risk
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...
Paul Glasserman, Wanmo Kang, Perwez Shahabuddin
WSC
2008
9 years 12 months ago
Efficient simulation for tail probabilities of Gaussian random fields
We are interested in computing tail probabilities for the maxima of Gaussian random fields. In this paper, we discuss two special cases: random fields defined over a finite number...
Robert J. Adler, Jose Blanchet, Jingchen Liu
MANSCI
2008
122views more  MANSCI 2008»
9 years 9 months ago
Incorporating Asymmetric Distributional Information in Robust Value-at-Risk Optimization
Value-at-Risk (VaR) is one of the most widely accepted risk measures in the financial and insurance industries, yet efficient optimization of VaR remains a very difficult problem....
Karthik Natarajan, Dessislava Pachamanova, Melvyn ...
TOMACS
2002
113views more  TOMACS 2002»
9 years 9 months ago
Simulating heavy tailed processes using delayed hazard rate twisting
Consider the problem of estimating the small probability that the maximum of a random walk exceeds a large threshold, when the process has a negative drift and the underlying rand...
Sandeep Juneja, Perwez Shahabuddin
WSC
2007
9 years 12 months ago
Efficient suboptimal rare-event simulation
Much of the rare-event simulation literature is concerned with the development of asymptotically optimal algorithms. Because of the dif´Čüculties associated with applying these id...
Xiaowei Zhang, Jose Blanchet, Peter W. Glynn
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