کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
4641188 1341299 2009 11 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Adaptive integration for multi-factor portfolio credit loss models
موضوعات مرتبط
مهندسی و علوم پایه ریاضیات ریاضیات کاربردی
پیش نمایش صفحه اول مقاله
Adaptive integration for multi-factor portfolio credit loss models
چکیده انگلیسی

We propose algorithms of adaptive integration for calculation of the tail probability in multi-factor credit portfolio loss models. We first modify the classical Genz–Malik rule, a deterministic multiple integration rule suitable for portfolio credit models with number of factors less than 8. Later on we arrive at the adaptive Monte Carlo integration, which essentially replaces the deterministic integration rule by antithetic random numbers. The latter can not only handle higher-dimensional models but is also able to provide reliable probabilistic error bounds. Both algorithms are asymptotic convergent and consistently outperform the plain Monte Carlo method.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Computational and Applied Mathematics - Volume 231, Issue 2, 15 September 2009, Pages 506–516
نویسندگان
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