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...
As shown by the recent turmoil in credit markets, much remains to be done for the proper risk management of credit derivatives. In particular, the static copula-based models commo...
We consider the problem of accurately measuring the credit risk of a portfolio consisting of loans, bonds and other financial assets. One particular performance measure of interes...