Particle methods for the estimation of credit portfolio loss distributions

International Journal of Theoretical and Applied Finance

Volumn 13, Issue 4, 2010, Pages 577-602

  Carmona, René ^a   Crépey, Stéphane ^b  

^a PRINCETON UNIVERSITY   (United States)

^b UNIVERSITÉ D EVRY VAL D ESSONNE   (France)

Author keywords

credit portfolios, loss distribution estimation; Importance sampling; interacting particle systems; rare events

Indexed keywords

EID: 77954610117     PISSN: 02190249     EISSN: None     Source Type: Journal    
DOI: 10.1142/S0219024910005905     Document Type: Article

References (16)

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