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Large Deviations In Multifactor Portfolio Credit Risk

Citations

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Cited by:

  1. V. J. G. Leijdekker & M. R. H. Mandjes & P. J. C. Spreij, 2011. "Sample‐Path Large Deviations in Credit Risk," Journal of Applied Mathematics, John Wiley & Sons, vol. 2011(1).
  2. 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.
  3. 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).
  4. 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.
  5. Parrini, Alessandro, 2013. "Importance Sampling for Portfolio Credit Risk in Factor Copula Models," MPRA Paper 103745, University Library of Munich, Germany.
  6. Cheng-Der Fuh & Chuan-Ju Wang, 2017. "Efficient Exponential Tilting for Portfolio Credit Risk," Papers 1711.03744, arXiv.org, revised Apr 2019.
  7. Anand Deo & Sandeep Juneja, 2021. "Credit Risk: Simple Closed-Form Approximate Maximum Likelihood Estimator," Operations Research, INFORMS, vol. 69(2), pages 361-379, March.
  8. 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.
  9. 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.
  10. Kay Giesecke & Konstantinos Spiliopoulos & Richard B. Sowers, 2011. "Default clustering in large portfolios: Typical events," Papers 1104.1773, arXiv.org, revised Feb 2013.
  11. Tang, Qihe & Tong, Zhiwei & Xun, Li, 2022. "Portfolio risk analysis of excess of loss reinsurance," Insurance: Mathematics and Economics, Elsevier, vol. 102(C), pages 91-110.
  12. Chen, Shaoying & Tong, Zhiwei & Yang, Yang, 2025. "Portfolio default losses driven by idiosyncratic risks," European Journal of Operational Research, Elsevier, vol. 320(3), pages 765-776.
  13. Hengxin Cui & Ken Seng Tan & Fan Yang, 2024. "Portfolio credit risk with Archimedean copulas: asymptotic analysis and efficient simulation," Annals of Operations Research, Springer, vol. 332(1), pages 55-84, January.
  14. Hengxin Cui & Ken Seng Tan & Fan Yang, 2024. "Portfolio credit risk with Archimedean copulas: asymptotic analysis and efficient simulation," Papers 2411.06640, arXiv.org.
  15. Tim J. Brereton & Dirk P. Kroese & Joshua C. Chan, 2012. "Monte Carlo Methods for Portfolio Credit Risk," ANU Working Papers in Economics and Econometrics 2012-579, Australian National University, College of Business and Economics, School of Economics.
  16. Karolina Bujok & Ben Hambly & Christoph Reisinger, 2012. "Multilevel simulation of functionals of Bernoulli random variables with application to basket credit derivatives," Papers 1211.0707, arXiv.org, revised Feb 2018.
  17. 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.
  18. Konstantinos Spiliopoulos & Richard B. Sowers, 2013. "Default Clustering in Large Pools: Large Deviations," Papers 1311.0498, arXiv.org, revised Feb 2015.
  19. Konstantinos Spiliopoulos, 2014. "Systemic Risk and Default Clustering for Large Financial Systems," Papers 1402.5352, arXiv.org, revised Feb 2015.
  20. Anand Deo & Karthyek Murthy, 2025. "Achieving Efficiency in Black-Box Simulation of Distribution Tails with Self-Structuring Importance Samplers," Operations Research, INFORMS, vol. 73(1), pages 325-343, January.
  21. Paul Glasserman & Wanmo Kang & Perwez Shahabuddin, 2008. "Fast Simulation of Multifactor Portfolio Credit Risk," Operations Research, INFORMS, vol. 56(5), pages 1200-1217, October.
  22. K. Bujok & B. M. Hambly & C. Reisinger, 2015. "Multilevel Simulation of Functionals of Bernoulli Random Variables with Application to Basket Credit Derivatives," Methodology and Computing in Applied Probability, Springer, vol. 17(3), pages 579-604, September.
  23. 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.
  24. Tang, Qihe & Tong, Zhiwei & Yang, Yang, 2021. "Large portfolio losses in a turbulent market," European Journal of Operational Research, Elsevier, vol. 292(2), pages 755-769.
  25. Anand Deo & Sandeep Juneja, 2019. "Credit Risk: Simple Closed Form Approximate Maximum Likelihood Estimator," Papers 1912.12611, arXiv.org.
  26. Henry Lam & Clementine Mottet, 2017. "Tail Analysis Without Parametric Models: A Worst-Case Perspective," Operations Research, INFORMS, vol. 65(6), pages 1696-1711, December.
  27. Amogh Deshpande, 2014. "Comparing the Value at Risk Performance of the CreditRisk + and its Enhancement: A Large Deviations Approach," Methodology and Computing in Applied Probability, Springer, vol. 16(4), pages 1009-1023, December.
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