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Sensitivity estimates for portfolio credit derivatives using Monte Carlo

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  • Zhiyong Chen
  • Paul Glasserman

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Suggested Citation

  • Zhiyong Chen & Paul Glasserman, 2008. "Sensitivity estimates for portfolio credit derivatives using Monte Carlo," Finance and Stochastics, Springer, vol. 12(4), pages 507-540, October.
    • Handle: RePEc:spr:finsto:v:12:y:2008:i:4:p:507-540
    DOI: 10.1007/s00780-008-0071-y
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    References listed on IDEAS

    as
    1. Zhiyong Chen & Paul Glasserman, 2008. "Fast Pricing of Basket Default Swaps," Operations Research, INFORMS, vol. 56(2), pages 286-303, April.
    2. Jean-Paul Laurent & Jon Gregory, 2005. "Basket default swaps, CDOs and factor copulas," Post-Print hal-03679517, HAL.
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    Citations

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    Cited by:

    1. Silvana M. Pesenti & Pietro Millossovich & Andreas Tsanakas, 2023. "Differential Quantile-Based Sensitivity in Discontinuous Models," Papers 2310.06151, arXiv.org, revised Oct 2024.
    2. Peng, Yijie & Fu, Michael C. & Hu, Jiaqiao & L’Ecuyer, Pierre & Tuffin, Bruno, 2025. "Generalized likelihood ratio method for stochastic models with uniform random numbers as inputs," European Journal of Operational Research, Elsevier, vol. 321(2), pages 493-502.
    3. L. Jeff Hong & Sandeep Juneja & Jun Luo, 2014. "Estimating Sensitivities of Portfolio Credit Risk Using Monte Carlo," INFORMS Journal on Computing, INFORMS, vol. 26(4), pages 848-865, November.
    4. Kay Giesecke & Lisa R. Goldberg & Xiaowei Ding, 2011. "A Top-Down Approach to Multiname Credit," Operations Research, INFORMS, vol. 59(2), pages 283-300, April.
    5. Lei, Lei & Peng, Yijie & Fu, Michael C. & Hu, Jian-Qiang, 2023. "Copula sensitivity analysis for portfolio credit derivatives," European Journal of Operational Research, Elsevier, vol. 308(1), pages 455-466.
    6. Guangwu Liu & L. Jeff Hong, 2011. "Kernel Estimation of the Greeks for Options with Discontinuous Payoffs," Operations Research, INFORMS, vol. 59(1), pages 96-108, February.

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    More about this item

    Keywords

    Sensitivity calculation; Credit derivatives; Monte Carlo simulation; Efficiency; Pathwise method; 91B28; 65C05; G13; G32; C15;
    All these keywords.

    JEL classification:

    • G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
    • G32 - Financial Economics - - Corporate Finance and Governance - - - Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill
    • C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General

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