Estimating multifactor portfolio credit risk: A variance reduction approach

Pacific-Basin Finance Journal ◽

10.1016/j.pacfin.2018.08.001 ◽

2019 ◽

Vol 57 ◽

pp. 101047 ◽

Author(s):

Ming-Hua Hsieh ◽

Yi-Hsi Lee ◽

So-De Shyu ◽

Yu-Fen Chiu

Keyword(s):

Credit Risk ◽

Variance Reduction ◽

Portfolio Credit Risk ◽

Reduction Approach

Download Full-text

Bayesian synthesis of portfolio credit risk with missing ratings

The Journal of Risk ◽

10.21314/jor.2015.301 ◽

2015 ◽

Vol 18 (1) ◽

pp. 45-69

Author(s):

Dror Parnes

Keyword(s):

Credit Risk ◽

Portfolio Credit Risk

Download Full-text

Dependent defaults in models of portfolio credit risk

The Journal of Risk ◽

10.21314/jor.2003.089 ◽

2003 ◽

Vol 6 (1) ◽

pp. 59-92 ◽

Author(s):

Rüdiger Frey ◽

Alexander McNeil

Keyword(s):

Credit Risk ◽

Portfolio Credit Risk

Download Full-text

The effects of estimation error on measures of portfolio credit risk

Journal of Banking & Finance ◽

10.1016/s0378-4266(02)00277-7 ◽

2003 ◽

Vol 27 (8) ◽

pp. 1427-1453 ◽

Author(s):

Gunter Löffler

Keyword(s):

Credit Risk ◽

Estimation Error ◽

Portfolio Credit Risk

Download Full-text

A Variance Reduction Approach for Monte Carlo Solutions of the Non-Linear Boltzmann Equation

ASME 3rd International Conference on Microchannels and Minichannels, Part B cont’d ◽

10.1115/icmm2005-75099 ◽

2005 ◽

Author(s):

Lowell L. Baker ◽

Nicolas G. Hadjiconstantinou

Keyword(s):

Monte Carlo ◽

Boltzmann Equation ◽

Variance Reduction ◽

Linear Boltzmann Equation ◽

Reduction Approach

Download Full-text

Importance Sampling: A Variance Reduction Method for Credit Risk Models

Statistical Models for Data Analysis - Studies in Classification, Data Analysis, and Knowledge Organization ◽

10.1007/978-3-319-00032-9_38 ◽

2013 ◽

pp. 333-342

Author(s):

Gabriella Schoier ◽

Federico Marsich

Keyword(s):

Credit Risk ◽

Importance Sampling ◽

Variance Reduction ◽

Reduction Method ◽

Download Full-text

Computational techniques for basic affine models of portfolio credit risk

The Journal of Computational Finance ◽

10.21314/jcf.2009.200 ◽

2009 ◽

Vol 13 (1) ◽

pp. 63-97 ◽

Author(s):

Andreas Eckner

Keyword(s):

Credit Risk ◽

Computational Techniques ◽

Portfolio Credit Risk ◽

Affine Models ◽

Download Full-text

Dynamic Modeling of Portfolio Credit Risk with Common Shocks

SSRN Electronic Journal ◽

10.2139/ssrn.1844574 ◽

2011 ◽

Author(s):

Tomasz R. Bielecki ◽

Areski Cousin ◽

Stéphane Crépey ◽

Alexander Herbertsson

Keyword(s):

Credit Risk ◽

Dynamic Modeling ◽

Portfolio Credit Risk ◽

Download Full-text

Portfolio Credit Risk: Statistical Methods

Encyclopedia of Quantitative Finance ◽

10.1002/9780470061602.eqf09021 ◽

2010 ◽

Author(s):

Daniel Rösch

Keyword(s):

Credit Risk ◽

Statistical Methods ◽

Portfolio Credit Risk

Download Full-text

Rating frailty, Bayesian updates, and portfolio credit risk analysis*

Quantitative Finance ◽

10.1080/14697688.2021.2013519 ◽

2022 ◽

pp. 1-21

Author(s):

Shang Bu ◽

Nan Guo ◽

Lingfei Li

Keyword(s):

Risk Analysis ◽

Credit Risk ◽

Portfolio Credit Risk ◽

Credit Risk Analysis

Download Full-text

Portfolio credit risk and the Basel Accord

Consumer Credit Models ◽

10.1093/acprof:oso/9780199232130.003.0005 ◽

2009 ◽

pp. 278-359

Author(s):

Lyn C. Thomas

Keyword(s):

Credit Risk ◽

Basel Accord ◽

Portfolio Credit Risk

Download Full-text