Importance Sampling for Integrated Market and Credit Portfolio Models


As already mentioned in chapter 4, beside Fourier-based approaches, another efficiency enhancing computational approach developed for standard credit portfolio models is based on Monte Carlo simulations combined with variance reduction techniques. Most common is the application of importance sampling (IS) techniques.


Importance Sampling Market Risk Credit Spread Credit Portfolio Systematic Risk Factor 


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© Betriebswirtschaftlicher Verlag Dr. Th. Gabler | GWV Fachverlage GmbH, Wiesbaden 2008

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