Importance sampling for integrated market and credit portfolio models

Autor(en): Grundke, Peter 
Stichwörter: Bottom-up approach; Business & Economics; Credit risk; Importance sampling; Interest rate risk; Management; Operations Research & Management Science; RISK; Risk management; Value-at-risk
Erscheinungsdatum: 2009
Herausgeber: ELSEVIER
Journal: EUROPEAN JOURNAL OF OPERATIONAL RESEARCH
Volumen: 194
Ausgabe: 1
Startseite: 206
Seitenende: 226
Zusammenfassung: 
A sophisticated approach for computing the total economic capital needed for various stochastically dependent risk types is the bottom-up approach. In this approach, usually, market and credit risks of financial instruments are modeled simultaneously. As integrating market risk factors into standard credit portfolio models increases the computational burden of calculating risk measures, it is analyzed to which extent importance sampling techniques previously developed either for pure market portfolio models or for pure credit portfolio models can be successfully applied to integrated market and credit portfolio models. Specific problems which arise in this context are discussed. The effectiveness of these techniques is tested by numerical experiments for linear and non-linear portfolios. (c) 2007 Elsevier B.V. All rights reserved.
ISSN: 03772217
DOI: 10.1016/j.ejor.2007.12.028

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