Efficient Monte Carlo methods for convex risk measures in portfolio credit risk models

Proceedings - Winter Simulation Conference

Volumn , Issue , 2007, Pages 958-966

  Dunkel, Jörn ^a   Weber, Stefan ^b  

^a UNIVERSITY OF AUGSBURG   (Germany)

^b School of Operations Research and Industrial Engineering   (United States)

Author keywords

[No Author keywords available]

Indexed keywords

COMPUTER SIMULATION; ESTIMATION; MANAGEMENT SCIENCE; MATHEMATICAL MODELS; MONTE CARLO METHODS; RISK PERCEPTION; STANDARDS; VALUE ENGINEERING;

COMPUTATIONALLY EFFICIENT; IMPORTANCE SAMPLING METHOD; INDUSTRY STANDARDS; MONTE CARLO; NUMERICAL SIMULATIONS; PORTFOLIO CREDIT RISK; RISK MEASURES;

RISK ASSESSMENT;

EID: 49749143006     PISSN: 08917736     EISSN: None     Source Type: Conference Proceeding    
DOI: 10.1109/WSC.2007.4419692     Document Type: Conference Paper

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