Add to ORKGThe importance sampling method exponential twisting is used to estimate Utility-based Shortfall Risk (SR) in two standard portfolio credit risk models. SR belongs to the class of convex risk measures and thus avoids the shortcomings of the industry standardValue-at-Risk (VaR). Our analysis demonstrates that standard Monte-Carlo (MC) techniques, originally developed for VaR, can be generalized to efficiently estimate SR in the framework of the portfolio models CreditRisk+ and CreditMetrics. Numerical simulations of test portfolios illustrate the good performance of the proposed estimators
[[abstract]]Importance sampling is a powerful variance reduction technique for rare event simulation...
An efficient and accurate approach is proposed for forecasting the Value at Risk (VaR) and Expected ...
[[abstract]]Risk management is an important issue when there is a catastrophic event that affects as...
Reliable risk measurement is a key problem for financial institutions and regulatory authorities. Th...
Monte Carlo simulation is widely used to measure the credit risk in portfolios of loans, corporate ...
The problem of the asymmetric behaviour and fat tails of portfolios of credit risky corporate assets...
The Basel Committee's minimum capital requirement function for banks' credit risk is based on a risk...
Determining contributions by sub-portfolios or single exposures to portfolio-wide economic capital f...
In the first part of this paper we address the non-coherence of value-at-risk (VaR) as a risk measur...
Operations Research, forthcoming We provide a sequential Monte Carlo method for estimating rare-even...
We provide sharp analytical upper and lower bounds for value-at-risk (VaR) and sharp bounds for expe...
The current subprime crisis has prompted us to look again into the nature of risk at the tail of the...
This paper proposes and evaluates variance reduction techniques for efficient estimation of portfoli...
Abstract: Standard credit portfolio models do not model market risk factors, such as risk-free inter...
The objective of this paper is to study the effect of importance sampling (IS) techniques on stochas...
[[abstract]]Importance sampling is a powerful variance reduction technique for rare event simulation...
An efficient and accurate approach is proposed for forecasting the Value at Risk (VaR) and Expected ...
[[abstract]]Risk management is an important issue when there is a catastrophic event that affects as...
Reliable risk measurement is a key problem for financial institutions and regulatory authorities. Th...
Monte Carlo simulation is widely used to measure the credit risk in portfolios of loans, corporate ...
The problem of the asymmetric behaviour and fat tails of portfolios of credit risky corporate assets...
The Basel Committee's minimum capital requirement function for banks' credit risk is based on a risk...
Determining contributions by sub-portfolios or single exposures to portfolio-wide economic capital f...
In the first part of this paper we address the non-coherence of value-at-risk (VaR) as a risk measur...
Operations Research, forthcoming We provide a sequential Monte Carlo method for estimating rare-even...
We provide sharp analytical upper and lower bounds for value-at-risk (VaR) and sharp bounds for expe...
The current subprime crisis has prompted us to look again into the nature of risk at the tail of the...
This paper proposes and evaluates variance reduction techniques for efficient estimation of portfoli...
Abstract: Standard credit portfolio models do not model market risk factors, such as risk-free inter...
The objective of this paper is to study the effect of importance sampling (IS) techniques on stochas...
[[abstract]]Importance sampling is a powerful variance reduction technique for rare event simulation...
An efficient and accurate approach is proposed for forecasting the Value at Risk (VaR) and Expected ...
[[abstract]]Risk management is an important issue when there is a catastrophic event that affects as...