Monte Carlo for Large Credit Portfolios with Potentially
High Correlations (with Liu, J.
C., and Yang, X.)
Summary:
This paper embeds a credit
portfolio inside a continuous Gaussian random field structure. Therefore, we
can handle an arbitrary large number of names and we can induce high
correlation among the obligors. We develop asymptotically optimal simulation
estimators for associated rare event probabilities
Bibtex:
@INPROCEEDINGS {BlaLiuYang10,
AUTHOR={J.
Blanchet and J. C. Liu and X. Yang},
YEAR={2010},
TITLE={Monte Carlo
for large credit portfolios with potentially high correlations},
BOOKTITLE={Proceedings
of the 2010 Winter Simulation Conference},
EDITOR={B. Johansson, S. Jain, J. Montoya-Torres, J. Hugan and
PUBLISHER={IEEE Press},
PAGES={328-336}
}