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Interacting particle systems for the computation of rare credit portfolio losses

Author

Listed:
  • René Carmona
  • Jean-Pierre Fouque
  • Douglas Vestal

Abstract

No abstract is available for this item.

Suggested Citation

  • René Carmona & Jean-Pierre Fouque & Douglas Vestal, 2009. "Interacting particle systems for the computation of rare credit portfolio losses," Finance and Stochastics, Springer, vol. 13(4), pages 613-633, September.
    • Handle: RePEc:spr:finsto:v:13:y:2009:i:4:p:613-633
    DOI: 10.1007/s00780-009-0098-8
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    Citations

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    Cited by:

    1. Ankush Agarwal & Stefano de Marco & Emmanuel Gobet & Gang Liu, 2017. "Rare event simulation related to financial risks: efficient estimation and sensitivity analysis," Working Papers hal-01219616, HAL.
    2. Konstantinos Spiliopoulos, 2014. "Systemic Risk and Default Clustering for Large Financial Systems," Papers 1402.5352, arXiv.org, revised Feb 2015.
    3. Agarwal, Ankush & De Marco, Stefano & Gobet, Emmanuel & Liu, Gang, 2018. "Study of new rare event simulation schemes and their application to extreme scenario generation," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 143(C), pages 89-98.
    4. Shaojie Deng & Kay Giesecke & Tze Leung Lai, 2012. "Sequential Importance Sampling and Resampling for Dynamic Portfolio Credit Risk," Operations Research, INFORMS, vol. 60(1), pages 78-91, February.
    5. Targino, Rodrigo S. & Peters, Gareth W. & Shevchenko, Pavel V., 2015. "Sequential Monte Carlo Samplers for capital allocation under copula-dependent risk models," Insurance: Mathematics and Economics, Elsevier, vol. 61(C), pages 206-226.
    6. Michael B. Giles & Christoph Reisinger, 2012. "Stochastic finite differences and multilevel Monte Carlo for a class of SPDEs in finance," Papers 1204.1442, arXiv.org.
    7. Morio, Jérôme & Jacquemart, Damien & Balesdent, Mathieu & Marzat, Julien, 2013. "Optimisation of interacting particle systems for rare event estimation," Computational Statistics & Data Analysis, Elsevier, vol. 66(C), pages 117-128.
    8. Bai, Chunguang & Shi, Baofeng & Liu, Feng & Sarkis, Joseph, 2019. "Banking credit worthiness: Evaluating the complex relationships," Omega, Elsevier, vol. 83(C), pages 26-38.
    9. Guangwu Liu, 2015. "Simulating Risk Contributions of Credit Portfolios," Operations Research, INFORMS, vol. 63(1), pages 104-121, February.
    10. Fred E. Benth & Geir Dahl & Carlo Mannino, 2010. "Computing optimal recovery policies for financial markets," DIS Technical Reports 2010-20, Department of Computer, Control and Management Engineering, Universita' degli Studi di Roma "La Sapienza".
    11. Fred E. Benth & Geir Dahl & Carlo Mannino, 2012. "Computing Optimal Recovery Policies for Financial Markets," Operations Research, INFORMS, vol. 60(6), pages 1373-1388, December.

    More about this item

    Keywords

    Interacting particle systems; Rare defaults; Monte Carlo methods; Credit derivatives; Variance reduction; 60H35; 91B70; C63;
    All these keywords.

    JEL classification:

    • C63 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Computational Techniques

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