An importance sampling method for portfolios of credit risky assets

The distribution of possible future losses for a portfolio of credit risky corporate assets, such as bonds or loans, shows strongly asymmetric behavior and a fat tail as the consequence of the limited upside of credit (the promised coupon payment) and substantial downside if the corporation defaults...

Ausführliche Beschreibung

Bibliographische Detailangaben

1. Verfasser:	Morokoff, W.J.
Format:	Tagungsbericht
Sprache:	eng
Schlagworte:	Cost accounting Equations Gaussian distribution Monte Carlo methods Portfolios Stochastic processes Uncertainty
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