Authors Info
Glasserman, Paul’ AUTHOR PAGE
Organizations:
E-Mail: pglasser@research.gsb.columbia.edu
Blog Path:
webpage: http://www-1.gsb.columbia.edu/faculty/pglasserman/Other/
Employer:
Company:
Affiliation: Columbia University
About The Author
No Data!
Personal/Edited Documents List
Title

Publication

Date

Co-authors

Members with

this document

Download
Stress Tests to Promote Financial Stability: Assessing Progress and Looking to the Future 2013
Bookstaber, Richard
Flood, Mark
Glasserman, Paul
Cetina, Jill
Feldberg, Greg
 
Stress testing, which has its roots in risk management, should be adapted to support financial stability monitoring and to incorporate the interconnec...
Robust Risk Measurement and Model Risk 2012
Glasserman, Paul
Xu, Xingbo
 
In this work, we develop a framework for quantifying the impact of model error and for measuring and minimizing risk in a way that is robust to model ...
Design of Risk Weights 2013
Glasserman, Paul
Kang, Wanmo
 
Banking regulations set minimum levels of capital for banks. These requirements are generally formulated through a ratio of capital to risk-weighted a...
Stress Scenario Selection by Empirical Likelihood 2012
Glasserman, Paul
Kang, Wanmo
Kang, Chulmin
 
This paper develops methods for selecting and analyzing stress scenarios with particular emphasis on identifying sensible combinations of stresses to ...
Uniformly Efficient Importance Sampling for the Tail Distribution of Sums of Random Variables 2008
Glasserman, Paul
Juneja, Sandeep
 
we consider the problem of efficient estimation of the probabilities P(Sn = na) for large n, for all a lying in an interval , where Sn denotes the sum...
Forging Best Practices in Risk Management 2012
Glasserman, Paul
Flannery, Mark J.
Mordecai, David K. A.
Rossi, Cliff
 
The paper begins with a brief review of salient changes and unmet challenges in risk measurement in the wake of the financial crisis. It proceeds with...
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...
Risk Horizon and Rebalancing Horizon in Portfolio Risk Management 2009
Glasserman, Paul
 
This paper analyzes portfolio risk and volatility in the presence of constraints on portfolio rebalancing frequency. This investigation is motivated b...
Importance Sampling for Portfolio Credit Risk 2005
Glasserman, Paul
Li, Jingyi
 
Monte Carlo simulation is widely used to measure the credit risk in portfolios of loans, corporate bonds, and other instruments subject to possible de...
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...
Measuring Marginal Risk Contributions in Credit Portfolios 2004
Glasserman, Paul
 
We consider the problem of decomposing the credit risk in a portfolio into a sum ofrisk contributions associated with individual obligors or transacti...
Tail Approximations for Portfolio Credit Risk 2004
Glasserman, Paul
 
This paper develops approximations for the distribution of losses from default in a normalcopula framework for credit risk. We put particular emphasis...
Importance Sampling for a Mixed Poisson Model of Portfolio Credit Risk 2004
Glasserman, Paul
Li, Jingyi
 
Simulation is widely used to estimate losses due to defaultand other credit events in financial portfolios. The challengein doing this efficiently res...
Monte Carlo Methods in Financial Engineering 2003
Glasserman, Paul
 
This book develops the use of Monte Carlo methods in finance and it also uses simulation as a vehicle for presenting models and ideas from financial e...
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...
The Quest for Precision Through Value-at-Risk 2000
Glasserman, Paul
 
Despite advances in finance and risk management, a satisfactory method for measuring the total financial risk faced by a business or bank at any time ...
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...
Hedging With Trees Advances in Pricing and Risk Managing Derivatives 1998
Broadie, Mark
Glasserman, Paul
 
*An edited compilation of the best technical articles published in RISK magazine from 1995-98 *Developments in exotic options, interest rate modelling...
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