Monte Carlo Methods for Portfolio Credit Risk

Brereton, Tim; Kroese, Dirk P.; Chan, Joshua C. C.

doi:10.1002/9781118818503.ch7

Search citation statements

Order By: Relevance

Paper Sections

Select...

Introduction1

Citation Types

Supporting

Mentioning

Contrasting

Year Published

2014

2020

Publication Types

Select...

Article3

Relationship

Self Cite0

Independent3

Authors

Journals

Cited by 3 publications

(1 citation statement)

References 42 publications

Supporting

Mentioning

Contrasting

Order By: Relevance

“…For general introductions to importance sampling and rare-event simulation, see Heidelberger (1995) ; Juneja and Shahabuddin (2006) , and Asmussen and Glynn (2007) . For applications of importance sampling to large portfolio losses, see Bassamboo et al (2008) ; Brereton, Kroese, and Chan (2012) ; Chan and Kroese (2010) ; Glasserman, Kang, and Shahabuddin (2008) ; Glasserman and Li (2005) , and Liu (2015) , among others.…”

Section: Introductionmentioning

confidence: 99%