Portfolio credit risk with extremal dependence: Asymptotic analysis and efficient simulation

Operations Research

Volumn 56, Issue 3, 2008, Pages 593-606

  Bassamboo, Achal ^a   Juneja, Sandeep ^b   Zeevi, Assaf ^c  

^a NORTHWESTERN UNIVERSITY   (United States)

^b TATA INSTITUTE OF FUNDAMENTAL RESEARCH   (India)

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

Author keywords

Asymptotics; Credit; Expected shortfall; Importance sampling; Portfolio; Rare events; Risk management; Simulation

Indexed keywords

ASYMPTOTICS; CREDIT; EXPECTED SHORTFALL; IMPORTANCE SAMPLING; PORTFOLIO; RARE EVENTS; SIMULATION;

MONTE CARLO METHODS; NORMAL DISTRIBUTION; RISK ANALYSIS; RISK ASSESSMENT; RISK MANAGEMENT; RISK PERCEPTION;

ASYMPTOTIC ANALYSIS;

EID: 61449231600     PISSN: 0030364X     EISSN: 15265463     Source Type: Journal    
DOI: 10.1287/opre.1080.0513     Document Type: Article

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