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Importance Sampling Methods for Estimating Convex Risk Measures in Portfolio Credit Risk Models
Year Of Publication: 2007
Month Of Publication: May
Pages: 24
Download Count: 311
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Comment Num: 0
Language: EN
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Who Can Read: Free
Date: 9-22-2007
Publisher: Administrator
Summary
The importance sampling method exponential twisting is used to estimate Utility-basedShortfall Risk (SR) in two standard portfolio credit risk models. SR belongs to the class ofconvex risk measures and thus avoids the shortcomings of the industry standard Value-at-Risk(VaR). Our analysis demonstrates that standard Monte-Carlo (MC) techniques, originallydeveloped for VaR, can be generalized to efficiently estimate SR in the framework of theportfolio models CreditRisk+ and CreditMetrics. Numerical simulations of test portfoliosillustrate 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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