کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
477379 1446155 2009 21 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Importance sampling for integrated market and credit portfolio models
موضوعات مرتبط
مهندسی و علوم پایه مهندسی کامپیوتر علوم کامپیوتر (عمومی)
پیش نمایش صفحه اول مقاله
Importance sampling for integrated market and credit portfolio models
چکیده انگلیسی

A sophisticated approach for computing the total economic capital needed for various stochastically dependent risk types is the bottom-up approach. In this approach, usually, market and credit risks of financial instruments are modeled simultaneously. As integrating market risk factors into standard credit portfolio models increases the computational burden of calculating risk measures, it is analyzed to which extent importance sampling techniques previously developed either for pure market portfolio models or for pure credit portfolio models can be successfully applied to integrated market and credit portfolio models. Specific problems which arise in this context are discussed. The effectiveness of these techniques is tested by numerical experiments for linear and non-linear portfolios.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: European Journal of Operational Research - Volume 194, Issue 1, 1 April 2009, Pages 206–226
نویسندگان
,