3 search results - page 1 / 1 » Portfolio Credit Risk with Extremal Dependence: Asymptotic A... |
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...
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...
EOR
2010
13 years 4 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...