Authors Info
Shahabuddin, Perwez’ AUTHOR PAGE
Organizations:
E-Mail: perwez@ieor.columbia.edu
Blog Path:
webpage: http://www.columbia.edu/~ps147/
Employer:
Company:
Affiliation: Columbia University
About The Author
No Data!
Personal/Edited Documents List
Title

Publication

Date

Co-authors

Members with

this document

Download
Large Deviations in Multifactor Portfolio Credit Risk 2007
Glasserman, Paul
Shahabuddin, Perwez
Kang, Wanmo
 
The measurement of portfolio credit risk focuses on rare but significant large-loss events. This paper investigates rare event asymptotics for the los...
Fast Simulation of Multifactor Portfolio Credit Risk 2007
Glasserman, Paul
Kang, Wanmo
Shahabuddin, Perwez
 
This paper develops rare event simulation methods for the estimation of portfolio creditrisk|the risk of losses to a portfolio resulting from defaults...
Rare-event Simulation Techniques: An Introduction and Recent Advances 2006
Shahabuddin, Perwez
Juneja, Sandeep
 
In this chapter we review some of the recent developments for efficient estimation of rareevents,most of which involve application of importance sampl...
Rare-Event, Heavy-Tailed Simulations Using Hazard Function Transformations, with Applications to Val 2003
Huang, Zhi
Shahabuddin, Perwez
 
We develop an observation that a simulation method introducedrecently for heavy-tailed stochastic simulation,namely hazard-rate twisting, is equivalen...
Efficient Monte Carlo Methods for Value-at-Risk 2000
Glasserman, Paul
Heidelberger, Philip
Shahabuddin, Perwez
 
The calculation of value-at-risk for large portfolios presents a tradeoff between speed and accuracy, with the fastest methods relying on rough approx...
Value-at-Risk with Heavy-Tailed Risk Factors 2000
Glasserman, Paul
Heidelberger, Philip
Shahabuddin, Perwez
 
This paper develops efficient methods for computing portfolio value-at-risk (VAR) when the underlying risk factors have a heavy-tailed distribution. W...
Variance Reduction Techniques for Estimating Value at Risk 2000
Glasserman, Paul
Heidelberger, Philip
Shahabuddin, Perwez
 
This paper describes, analyzes and evaluates an algorithm for estimating portfolio loss probabilities using Monte Carlo simulation. Obtaining accurate...
Variance Reduction Techniques for Value-at-Risk With Heavy-Tailed Risk Factors 2000
Glasserman, Paul
Heidelberger, Philip
Shahabuddin, Perwez
 
The calculation of value-at-risk (VAR) for large portfolios of complex instruments is among the most demanding and widespread computational challenges...
Importance Sampling and Stratification for Value-at-Risk 2000
Glasserman, Paul
Heidelberger, Philip
Shahabuddin, Perwez
 
This paper proposes and evaluates variance reduction techniques for efficient estimation of portfolio loss probabilities using Monte Carlo simulation....
Stratification Issues in Estimatinf Value-at-Risk 2000
Glasserman, Paul
Heidelberger, Philip
Shahabuddin, Perwez
 
This paper considers efficient estimation of value-at-risk, which is an important problem in risk management. The value-at-risk is an extreme quantile...
Close window
Sign up in one step, no personal information required. Already a Member?



Email:
Repeat Email:
User Name:
Password:
Confirm Password:

Sign Up


Welcome to GloriaMundi!
Thanks for singning up



continue or edit your profile