Sequential importance sampling and resampling for dynamic portfolio credit risk

Operations Research

Volumn 60, Issue 1, 2012, Pages 78-91

  Deng, Shaojie ^a   Giesecke, Kay ^b   Lai, Tze Leung ^c  

^a MICROSOFT   (United States)

^b Stanford University   (United States)

^c STANFORD UNIVERSITY   (United States)

Author keywords

Event timing models; Portfolio credit risk; Rare event simulation

Indexed keywords

CHANGE OF MEASURE; EFFICIENT SIMULATION; EVENT TIMING; INTENSITY-BASED; INTERACTING PARTICLES; POINT PROCESS; PORTFOLIO CREDIT RISK; RARE EVENT SIMULATION; RESAMPLING; SEQUENTIAL IMPORTANCE SAMPLING; SEQUENTIAL MONTE CARLO METHODS; TECHNICAL CONDITIONS;

ESTIMATION; IMPORTANCE SAMPLING; NUMERICAL ANALYSIS;

MONTE CARLO METHODS;

EID: 84859582397     PISSN: 0030364X     EISSN: 15265463     Source Type: Journal    
DOI: 10.1287/opre.1110.1008     Document Type: Article

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