We study sensitivity analysis of portfolio credit derivatives, including basket default swaps and collateralized debt obligations. An unbiased estimator is derived using conditional Monte Carlo for sensitivities with respect to systemic parameters (parameters that influence some or all the...

The generalized likelihood ratio (GLR) method is a recently introduced gradient estimation method for handling discontinuities in a wide range of sample performances. We put the GLR methods from previous work into a single framework, simplify regularity conditions to justify the unbiasedness of...