Risk management applications often require estimating the tail distribution of total default losses on a portfolio of credit-sensitive positions such as loans and corporate bonds. This paper develops, analyzes and tests an importance sampling estimator of large-loss probabilities. The estimator...

We develop and analyze a class of unbiased Monte Carlo estimators for multivariate jump-diffusion processes with state-dependent drift, volatility, jump intensity and jump size. A change of measure argument is used to extend existing unbiased estimators for the inter-arrival diffusion to include...