Importance sampling for a mixed poisson model of portfolio credit risk

Winter Simulation Conference Proceedings

Volumn 1, Issue , 2003, Pages 267-275

  Glasserman, Paul ^a   Li, Jingyi ^a  

^a The Sanford C Bernstein Co Center for Leadership and Ethics   (United States)

Author keywords

[No Author keywords available]

Indexed keywords

ASYMPTOTIC STABILITY; COMPUTER SIMULATION; CORRELATION METHODS; ECONOMIC AND SOCIAL EFFECTS; MATHEMATICAL MODELS; NORMAL DISTRIBUTION; POISSON DISTRIBUTION; RANDOM PROCESSES; RISK MANAGEMENT; SAMPLING;

CREDIT RISKS; FINANCIAL DEFAULTERS;

FINANCE;

EID: 1642519714     PISSN: 02750708     EISSN: None     Source Type: Conference Proceeding    
DOI: None     Document Type: Conference Paper

References (10)

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6. Glasserman, P., and J. Li. (2003). In preparation.
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