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 are interested in computing tail probabilities for the maxima of Gaussian random fields. In this paper, we discuss two special cases: random fields defined over a finite number...
Value-at-Risk (VaR) is one of the most widely accepted risk measures in the financial and insurance industries, yet efficient optimization of VaR remains a very difficult problem....
Consider the problem of estimating the small probability that the maximum of a random walk exceeds a large threshold, when the process has a negative drift and the underlying rand...
Much of the rare-event simulation literature is concerned with the development of asymptotically optimal algorithms. Because of the difficulties associated with applying these id...