Fast simulation of multifactor portfolio credit risk

Operations Research

Volumn 56, Issue 5, 2008, Pages 1200-1217

  Glasserman, Paul ^a   Kang, Wanmo ^b   Shahabuddin, Perwez ^c  

^a Och Spine at New York Presbyterian Hospitals   (United States)

^b Korea Advanced Institute of Science and Technology (KAIST)   (South Korea)

^c NONE   (United States)

Author keywords

[No Author keywords available]

Indexed keywords

ASYMPTOTIC OPTIMALITY; COMBINATORIAL PROBLEMS; COMMON FACTORS; COMPUTATIONAL ASPECTS; CONVEX OPTIMIZATION PROBLEMS; CREDIT RISKS; ESSENTIAL ELEMENTS; FAST SIMULATIONS; GAUSSIAN COPULA MODELS; IMPORTANCE SAMPLINGS; MEAN SHIFTS; MULTI FACTORS; MULTIFACTOR MODELS; MULTIPLE FACTORS; PORTFOLIO CREDIT RISKS; RARE-EVENT SIMULATIONS; SYSTEMATIC RISKS;

CONVEX OPTIMIZATION; IMAGE SEGMENTATION; RISK PERCEPTION; SYSTEMS ENGINEERING;

RISK ASSESSMENT;

EID: 61449099537     PISSN: 0030364X     EISSN: 15265463     Source Type: Journal    
DOI: 10.1287/opre.1080.0558     Document Type: Article

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