Interacting particle systems for the computation of rare credit portfolio losses

René Carmona (), Jean-Pierre Fouque () and Douglas Vestal ()

Finance and Stochastics, 2009, vol. 13, issue 4, 613-633

Keywords: Interacting particle systems; Rare defaults; Monte Carlo methods; Credit derivatives; Variance reduction; 60H35; 91B70; C63 (search for similar items in EconPapers)
Date: 2009
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Citations: View citations in EconPapers (11)

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DOI: 10.1007/s00780-009-0098-8

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