Calibrating credit portfolio loss distributions

• Published in: Proceedings of the 36th conference on Winter simulation pp. 1661 - 1667
• Main Authors: Cao, Menghui, Morokoff, William J.
• Format: Conference Proceeding
• Language: English
• Published: Piscataway NJ Winter Simulation Conference 05.12.2004; IEEE
• Series: ACM Conferences
• Subjects: Applied computing; Applied computing > Enterprise computing; Applied sciences; Computer science; control theory; systems; Exact sciences and technology; Mathematics of computing; Mathematics of computing > Probability and statistics; Mathematics of computing > Probability and statistics > Probabilistic reasoning algorithms; Mathematics of computing > Probability and statistics > Probabilistic reasoning algorithms > Markov-chain Monte Carlo methods; Simulation; Software; Correlation; Credit; Gaussian process; Simulation; Banking; Markets; Continuous time; Risk analysis; Risk management; Portfolio management; Modeling

Determination of credit portfolio loss distributions is essential for the valuation and risk management of multi-name credit derivatives such as CDOs. The default time model has recently become a market standard approach for capturing the default correlation, which is one of the main drivers for the...