Large Deviations In Multifactor Portfolio Credit Risk
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- Mohamed A. Ayadi & Hatem Ben-Ameur & Nabil Channouf & Quang Khoi Tran, 2019. "NORTA for portfolio credit risk," Annals of Operations Research, Springer, vol. 281(1), pages 99-119, October.
- Spiliopoulos, Konstantinos & Sowers, Richard B., 2011. "Recovery rates in investment-grade pools of credit assets: A large deviations analysis," Stochastic Processes and their Applications, Elsevier, vol. 121(12), pages 2861-2898.
- Hsieh, Ming-Hua & Lee, Yi-Hsi & Shyu, So-De & Chiu, Yu-Fen, 2019. "Estimating multifactor portfolio credit risk: A variance reduction approach," Pacific-Basin Finance Journal, Elsevier, vol. 57(C).
- Massimo Morini & Damiano Brigo, 2008. "Arbitrage-free Pricing of Credit Index Options: The no-armageddon pricing measure and the role of correlation after the subprime crisis," Papers 0812.4156, arXiv.org.
- Paul Glasserman & Wanmo Kang & Perwez Shahabuddin, 2008. "Fast Simulation of Multifactor Portfolio Credit Risk," Operations Research, INFORMS, vol. 56(5), pages 1200-1217, October.
- Parrini, Alessandro, 2013. "Importance Sampling for Portfolio Credit Risk in Factor Copula Models," MPRA Paper 103745, University Library of Munich, Germany.
- Cheng-Der Fuh & Chuan-Ju Wang, 2017. "Efficient Exponential Tilting for Portfolio Credit Risk," Papers 1711.03744, arXiv.org, revised Apr 2019.
- Chan, Joshua C.C. & Kroese, Dirk P., 2010. "Efficient estimation of large portfolio loss probabilities in t-copula models," European Journal of Operational Research, Elsevier, vol. 205(2), pages 361-367, September.
- Anand Deo & Sandeep Juneja, 2019. "Credit Risk: Simple Closed Form Approximate Maximum Likelihood Estimator," Papers 1912.12611, arXiv.org.
- Henry Lam & Clementine Mottet, 2017. "Tail Analysis Without Parametric Models: A Worst-Case Perspective," Operations Research, INFORMS, vol. 65(6), pages 1696-1711, December.
- Tang, Qihe & Tang, Zhaofeng & Yang, Yang, 2019. "Sharp asymptotics for large portfolio losses under extreme risks," European Journal of Operational Research, Elsevier, vol. 276(2), pages 710-722.
- Collins, Sean & Gallagher, Emily, 2016. "Assessing the credit risk of money market funds during the eurozone crisis," Journal of Financial Stability, Elsevier, vol. 25(C), pages 150-165.
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