3 search results - page 1 / 1 » Portfolio Credit Risk with Extremal Dependence: Asymptotic A... |
IOR
2008
15 years 12 days 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...
100
Voted
IOR
2008
15 years 12 days 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...
96
Voted
EOR
2010
15 years 14 days 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...