IMPORTANCE SAMPLING FOR A MIXED POISSON MODEL OF PORTFOLIO CREDIT RISK Paul
نویسندگان
چکیده
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) rareevent 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.
منابع مشابه
Fast Simulation of Multifactor Portfolio Credit Risk
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 portfolio. Portfolio credit risk is measured through probabilities of large losses, which are typically due to defaults of many obligors (sources of credit risk) to which a portfolio is exposed. An essential element of a portf...
متن کاملImportance Sampling for Portfolio Credit Risk
M Carlo simulation is widely used to measure the credit risk in portfolios of loans, corporate bonds, and other instruments subject to possible default. The accurate measurement of credit risk is often a rare-event simulation problem because default probabilities are low for highly rated obligors and because risk management is particularly concerned with rare but significant losses resulting fr...
متن کاملImportance sampling for integrated market and credit portfolio models
A sophisticated approach for computing the total economic capital needed for various stochastically dependent risk types is the bottom-up approach. In this approach, usually, market and credit risks of financial instruments are modeled simultaneously. As integrating market risk factors into standard credit portfolio models increases the computational burden of calculating risk measures, it is a...
متن کاملThe Current Models of Credit Portfolio Management: A Comparative Theoretical Analysis
The present paper aimed at studying the current models of credit portfolio management. There are currently three types of models which consider the risk of credit portfolio: the structural models (Moody's KMV model, and Credit- Metrics model), the intensity models (the actuarial models) and the econometric models (the Macro-factors model). The development of these three types of models is based...
متن کاملMonte Carlo Methods for Portfolio Credit Risk
The financial crisis of 2007 – 2009 began with a major failure in credit markets. The causes of this failure stretch far beyond inadequate mathematical modeling (see Donnelly and Embrechts [2010] and Brigo et al. [2009] for detailed discussions from a mathematical finance perspective). Nevertheless, it is clear that some of the more popular models of credit risk were shown to be flawed. Many of...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
عنوان ژورنال:
دوره شماره
صفحات -
تاریخ انتشار 2003