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Sensitivity estimates for portfolio credit derivatives using Monte Carlo

Author

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  • Zhiyong Chen

    ()

  • Paul Glasserman

    ()

Abstract

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Suggested Citation

  • Zhiyong Chen & Paul Glasserman, 2008. "Sensitivity estimates for portfolio credit derivatives using Monte Carlo," Finance and Stochastics, Springer, vol. 12(4), pages 507-540, October.
  • Handle: RePEc:spr:finsto:v:12:y:2008:i:4:p:507-540
    DOI: 10.1007/s00780-008-0071-y
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    More about this item

    Keywords

    Sensitivity calculation; Credit derivatives; Monte Carlo simulation; Efficiency; Pathwise method; 91B28; 65C05; G13; G32; C15;

    JEL classification:

    • G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
    • G32 - Financial Economics - - Corporate Finance and Governance - - - Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill
    • C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General

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