TY - GEN
T1 - Efficient importance sampling for reduced form models in credit risk
AU - Bassamboo, Achal
AU - Jain, Sachin
PY - 2006
Y1 - 2006
N2 - In this paper we study the problem of estimating probability of large losses in the framework of doubly stochastic credit risk models. We derive a logarithmic asymptote for the probability of interest in a specific asymptotic regime and propose an asymptotically optimal importance sampling algorithm for efficiently estimating the same. The numerical results in the last section corroborate our theoretical findings.
AB - In this paper we study the problem of estimating probability of large losses in the framework of doubly stochastic credit risk models. We derive a logarithmic asymptote for the probability of interest in a specific asymptotic regime and propose an asymptotically optimal importance sampling algorithm for efficiently estimating the same. The numerical results in the last section corroborate our theoretical findings.
UR - http://www.scopus.com/inward/record.url?scp=46149125747&partnerID=8YFLogxK
UR - http://www.scopus.com/inward/citedby.url?scp=46149125747&partnerID=8YFLogxK
U2 - 10.1109/WSC.2006.323154
DO - 10.1109/WSC.2006.323154
M3 - Conference contribution
AN - SCOPUS:46149125747
SN - 1424405017
SN - 9781424405015
T3 - Proceedings - Winter Simulation Conference
SP - 741
EP - 748
BT - Proceedings of the 2006 Winter Simulation Conference, WSC
T2 - 2006 Winter Simulation Conference, WSC
Y2 - 3 December 2006 through 6 December 2006
ER -