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Sensitivity estimates for portfolio credit derivatives using Monte Carlo
16 references·0 citing·35 second hop
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References

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  • 2000On Default Correlation1,257 cited
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  • 2003Credit Risk : Pricing, Measurement, and Management587 cited
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  • 1996Estimating Security Price Derivatives Using Simulation449 cited
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  • 2005Basket default swaps, CDOs and factor copulas260 cited
  • 1988Perturbation Analysis Gives Strongly Consistent Sensitivity Estimates for the M/G/1 Queue226 cited
  • 1987Smoothed (conditional) perturbation analysis of discrete event dynamical systems222 cited
  • 2011Conditional Monte Carlo: Gradient Estimation and Optimization Applications200 cited
  • 2005Bias and consistency of the maximum Sharpe ratio78 cited
  • 2008Stochastic Simulation

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