The distribution of possible future losses for a portfolio of credit risky corporate assets, such as bonds or loans, shows strongly asymmetric behavior and a fat tail as the conse...
The distribution of possible future losses for a portfolio of credit risky corporate assets, such as bonds or loans, shows strongly asymmetric behavior and a fat tail as the conse...
This paper develops rare event simulation methods for the estimation of portfolio credit risk -- the risk of losses to a portfolio resulting from defaults of assets in the portfol...
We discuss efficient Monte Carlo (MC) methods for the estimation of convex risk measures within the portfolio credit risk model CreditMetrics. Our focus lies on the Utilitybased ...