Importance sampling for portfolio credit risk

Management Science

Volumn 51, Issue 11, 2005, Pages 1643-1656

  Glasserman, Paul ^a   Li, Jingyi ^a  

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

Author keywords

Importance sampling; Monte Carlo simulation; Portfolio credit risk; Variance reduction

Indexed keywords

IMPORTANCE SAMPLING (IS); PORTFOLIO CREDIT RISK; VARIANCE REDUCTION;

COMPUTER SIMULATION; PROBLEM SOLVING; RISK ASSESSMENT; SAMPLING;

MONTE CARLO METHODS;

EID: 27744504782     PISSN: 00251909     EISSN: 15265501     Source Type: Journal    
DOI: 10.1287/mnsc.1050.0415     Document Type: Article

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