Article

New simulation methodology for risk analysis: importance sampling for a mixed Poisson model of portfolio credit risk

Authors:

Paul Glasserman,

Jingyi LiAuthors Info & Claims

WSC '03: Proceedings of the 35th conference on Winter simulation: driving innovation

Pages 267 - 275

Published: 07 December 2003 Publication History

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Abstract

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) rare-event 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.

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Glasserman, P., and J. Li. (2003). In preparation.

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Glasserman PXu XYücesan E(2010)Importance sampling for tail risk in discretely rebalanced portfoliosProceedings of the Winter Simulation Conference10.5555/2433508.2433837(2655-2665)Online publication date: 5-Dec-2010
https://dl.acm.org/doi/10.5555/2433508.2433837
Dunkel JWeber STew J(2007)Efficient Monte Carlo methods for convex risk measures in portfolio credit risk modelsProceedings of the 39th conference on Winter simulation: 40 years! The best is yet to come10.5555/1351542.1351711(958-966)Online publication date: 9-Dec-2007
https://dl.acm.org/doi/10.5555/1351542.1351711

New simulation methodology for risk analysis: importance sampling for a mixed Poisson model of portfolio credit risk
1. Mathematics of computing
  1. Probability and statistics
    1. Probabilistic reasoning algorithms

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Published In

WSC '03: Proceedings of the 35th conference on Winter simulation: driving innovation

December 2003

2094 pages

ISBN:0780381327

General Chair:
David Ferrin
Naperville, IL
,
Program Chair:
Douglas J. Morrice
The University of Texas at Austin, Austin, TX

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Winter Simulation Conference

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Published: 07 December 2003

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WSC03: Winter Simulation Conference 2003

December 7 - 10, 2003

Louisiana, New Orleans

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Glasserman PXu XYücesan E(2010)Importance sampling for tail risk in discretely rebalanced portfoliosProceedings of the Winter Simulation Conference10.5555/2433508.2433837(2655-2665)Online publication date: 5-Dec-2010
https://dl.acm.org/doi/10.5555/2433508.2433837
Dunkel JWeber STew J(2007)Efficient Monte Carlo methods for convex risk measures in portfolio credit risk modelsProceedings of the 39th conference on Winter simulation: 40 years! The best is yet to come10.5555/1351542.1351711(958-966)Online publication date: 9-Dec-2007
https://dl.acm.org/doi/10.5555/1351542.1351711

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New simulation methodology for risk analysis: genetic programming with monte carlo simulation for option pricing

Simulation methodology for collateralized debt and real options: simulation methods for risk analysis of collateralized debt obligations

Risk Analysis of Collateralized Debt Obligations

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