Importance Sampling for Portfolio Credit Risk-Reference-Cited by-同舟云学术

Importance Sampling for Portfolio Credit Risk

Published:2005-11 Issue:11 Volume:51 Page:1643-1656
ISSN:0025-1909
Container-title:Management Science
language:en
Short-container-title:Management Science

Author:

Glasserman Paul,Li Jingyi

Publisher

Institute for Operations Research and the Management Sciences (INFORMS)

Subject

Management Science and Operations Research,Strategy and Management

Link

https://pubsonline.informs.org/doi/pdf/10.1287/mnsc.1050.0415

Reference17 articles.

1. Avramidis A. Importance sampling for multimodal functions and application to pricing exotic optionsProc. Winter Simulation Conf.(2001) Piscataway, NJIEEE Press14931501

2. Large Deviations Techniques and Applications

3. Finger C. Enhancing Monte Carlo for credit portfolio models (2001) Presentation at The International Centre for Business Information Global Derivatives ConferenceJuan-les-Pins, France

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