Applying importance sampling for estimating coherent credit risk contributions

By S. Merino, Mark A. Nyfeler. 2004

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QUANTILE ESTIMATION WITH ADAPTIVE IMPORTANCE SAMPLING (2010, background): “7For instance, [13] and [26] apply an exponential twist to the conditional default indicators Yi |X ∼ Ber(pi(X)) where pi(x)= ((θi− √ 1− v2 s(i) xs(i))/vs(i)), is the conditional default probability.”
Time-Inconsistency of VaR and Time-Consistent Alternatives (2007, unknown): “Situations where AVaR behaves better than traditional risk measures are for example discussed in Alexander and Baptista (2004), Agarwal and Naik (2004), Merino and Nyfeler (2004).”
Risk factor contributions in portfolio credit risk models (2010, methodology): “For example, the application of importance sampling and other techniques used for position contributions (e.g. Glasserman, 2005; Huang et al., 2007; Merino and Nyfeler, 2004) needs to be investigated.”
Capital Allocation to Business Units and Sub-Portfolios: the Euler Principle (2007, methodology): “could be to take the left-hand side of (3.18) as an estimate for VaRα(X). Yamai and Yoshiba (2002) found that estimates for ES and VaR Euler contributions are very volatile. See Glasserman (2005) and Merino and Nyfeler (2004) for methods to tackle this problem for ES by importance sampling and Tasch”