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Sensitivity estimates for portfolio credit derivatives using Monte Carlo · Study

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ArticleSensitivity estimates for portfolio credit derivatives using Monte Carlo

Zhiyong Chen2008

Article2008

Sensitivity estimates for portfolio credit derivatives using Monte Carlo

Zhiyong Chen · Paul Glasserman

20 citations·0/0 files stored·Finance and Stochastics

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Stochastic processes and financial applications Financial Risk and Volatility Modeling Credit Risk and Financial Regulations

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References

2003Monte Carlo Methods in Financial Engineering 1987Stochastic Simulation 2004Copula Methods in Finance 2000On Default Correlation 1991Gradient Estimation via Perturbation Analysis 2003Credit Risk : Pricing, Measurement, and Management 2003Credit Risk 2004Valuation of a CDO and an n -th to Default CDS Without Monte Carlo Simulation

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Year2008

Typearticle

Published2008-08-13

VenueFinance and Stochastics

ISSN-L0949-2984

Languageen

Citations20

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1007/s00780-008-0071-y

openalex_workW2019922832

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