Credit risk - A rotationally invaraint technique for rare event simulation - Because of their low probability, including extreme events in Monte Carlo calculations of the value-at-risk of a credit-risky portfolio requires many simulations. Here, the authors demonstrate a geometrically simple change of measure technique that dramatically reduces computation time.
| Year of publication: |
2009
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|---|---|
| Authors: | Klöppel, Susanne ; Reda, Ranja ; Schachermayer, Walter |
| Published in: |
Risk : managing risk in the world's financial markets. - London : Incisive Financial Publ, ISSN 0952-8776, ZDB-ID 10494753. - Vol. 22.2009, 10, p. 90-95
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