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Efficient Monte Carlo Methods for Convex Risk Measures in Portfolio Credit Risk Models
Year Of Publication: 2005
Month Of Publication: August
Pages: 27
Download Count: 961
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Comment Num: 0
Language: EN
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Who Can Read: Free
Date: 9-22-2005
Publisher: Administrator
Summary
We discuss e±cient Monte Carlo methods for the estimation of convex risk measures inportfolio credit risk models. We focus on the Utility-based Shortfall Risk measures (SR).These risk measures do not share the deficiencies of the current industry standard Value atRisk (VaR). The analysis of large financial losses in realistic portfolio models requires extensive numerical simulations. In the present paper we demonstrate that importance samplingwith an exponential twist can be used to construct numerically efficient estimators for SRwithin the framework of the credit risk models CreditRisk+ and CreditMetrics. Numericalsimulations of test portfolios demonstrate the good performance of the proposed estimators
Author(s)
Dunkel, Jorn Sign in to follow this author
Weber, Stefan Sign in to follow this author
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