Name
Title | ||
|---|---|---|
New simulation methodology for risk analysis: importance sampling for a mixed Poisson model of portfolio credit risk |
Abstract | ||
|---|---|---|
Simulation is widely used to estimate losses due to default and other credit events in financial portfolios. The challenge in doing this efficiently results from (i) rare-event aspects of large losses and (ii) complex dependence between defaults of multiple obligors. We discuss importance sampling techniques to address this problem in two portfolio credit risk models developed in the financial industry, with particular emphasis on a mixed Poisson model. We give conditions for asymptotic optimality of the estimators as the portfolio size grows. |
Year | DOI | Venue |
|---|---|---|
2003 | 10.5555/1030818.1030857 | Winter Simulation Conference |
Keywords | Field | DocType |
financial industry,financial portfolio,large loss,credit event,multiple obligors,new simulation methodology,complex dependence,mixed poisson model,portfolio credit risk model,risk analysis,asymptotic optimality,portfolio size | Importance sampling,Actuarial science,Risk analysis (business),Computer science,Financial services,Portfolio,Default,Portfolio optimization,Poisson regression,Credit risk | Conference |
ISBN | Citations | PageRank |
0-7803-8132-7 | 3 | 0.83 |
References | Authors | |
2 | 2 | |
Name | Order | Citations | PageRank |
|---|---|---|---|
| Paul Glasserman | 1 | 496 | 95.86 |
| Jingyi Li | 2 | 3 | 0.83 |