Efficient importance sampling for reduced form models in credit risk

Proceedings - Winter Simulation Conference

Volumn , Issue , 2006, Pages 741-748

  Bassamboo, Achal ^a   Jain, Sachin ^b  

^a NORTHWESTERN UNIVERSITY   (United States)

^b Amaranth Group Inc   (United States)

Author keywords

[No Author keywords available]

Indexed keywords

ASYMPTOTIC ANALYSIS; LEARNING ALGORITHMS; PROBABILITY; RISK ASSESSMENT; RISK PERCEPTION;

ASYMPTOTICALLY OPTIMAL; CREDIT RISKS; DOUBLY STOCHASTIC; IMPORTANCE SAMPLING (IS); NUMERICA L RESULTS;

STOCHASTIC MODELS;

EID: 46149125747     PISSN: 08917736     EISSN: None     Source Type: Conference Proceeding    
DOI: 10.1109/WSC.2006.323154     Document Type: Conference Paper

References (6)

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3. Duffie, D., and K. Singleton. 2003. Credit Risk: Pricing, Measurement, and Management, Princeton University Press, Princeton, NJ.
4. Glasserman, P., and J. Li. 2005. Importance sampling for portfolio credit risk. Management Science. To appear.
5. Li, D. 2001. On default correlation: a copula function approach. Journal of Fixed Income 9, 43-54.
6. Protter, P. 2004. Stochastic Integration and Differential Equations, 2nd ed., Springer-Verlag, New York, NY.