Exact and efficient simulation of correlated defaults

SIAM Journal on Financial Mathematics

Volumn 1, Issue 1, 2010, Pages 868-896

  Giesecke, K ^a   Kakavand, H ^a   Mousavi, M ^a   Takada, H ^b  

^a Stanford University   (United States)

^b Mizuho DL Financial Technology Co Ltd   (Japan)

Author keywords

Acceptance rejection; Markovian projection; Portfolio credit risk; Rare event simulation; Selection mutation

Indexed keywords

EID: 81455155857     PISSN: None     EISSN: 1945497X     Source Type: Journal    
DOI: 10.1137/090778055     Document Type: Article

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