Importance Sampling for Portfolio Credit Risk
By Paul Glasserman, Jingyi Li. Management Sciences, 2005
323 citations recorded by the source corpus.
Subfields: Finance, Management Science and Operations Research
View Paper: https://www.semanticscholar.org/paper/a746347f81f2bffe0e84b7dc61d19221a98efda6
How researchers see this paper
The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.
In Finance
- David Saunders
- Dan Rosen
- Daniel Egloff
- Perwez Shahabuddin
- Wanmo Kang
- Paul Glasserman
- Markus Leippold
- M. Giles
In Management Science and Operations Research
- David Saunders
- Dan Rosen
- Huei Peng
- Shan Bao
- Perwez Shahabuddin
- Wanmo Kang
- Paul Glasserman
- Christopher S. Pan
Citations in the corpus
- 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.”
- Assessing the systemic risk of a heterogeneous portfolio of banks during the recent financial crisis (2009, unknown): “Therefore, we rely on the importance sampling method developed by Glassmerman and Li (2005) and later studied by Heitfield et al.”
- LARGE DEVIATIONS IN MULTIFACTOR PORTFOLIO CREDIT RISK (2007, background): “Glasserman and Li (2005) analyze an importance sampling method in the setting of single-factor models.”
- Working Paper # 0001 January 5 , 2012 A Survey of Systemic Risk Analytics (2012, unknown): “Because systemic events are rare, the authors use importance sampling (see Glasserman and Li (2005)) to simulate these events.”
- Measuring Marginal Risk Contributions in Credit Portfolios (2005, unknown): “I thank Rosalind Bennett and Paul Kupiec of the FDIC for their comments on an early draft of this paper and Jingyi Li for assistance with numerical experiments.”
- Accelerated Evaluation of Automated Vehicles Safety in Lane-Change Scenarios Based on Importance Sampling Techniques (2016, methodology): “Finally, we introduce the Cross Entropy method to optimize the use of IS.”
- Risk factor contributions in portfolio credit risk models (2010, background): “See, for example Emmer and Tasche (2005), Glasserman (2005), Glasserman and Li (2005), Huang et al. (2007), Kalkbrener et al. (2004), Merino and Nyfeler (2004), Tchistiakov et al. (2004) and Mausser and Rosen (2007) and the references therein.”