Optimal Importance Sampling of Default Losses

Optimal Importance Sampling of Default Losses

Neyman Seminar
Dec 2, 2015, 04:00 PM - 05:00 PM | 1011 Evans Hall | Happening As Scheduled
Alexander Shkolnik, UC Berkeley
Risk management applications often require estimating the tail distribution of total default losses on a portfolio of credit-sensitive positions such as loans and corporate bonds. We develop, analyze and test an importance sampling estimator of large-loss probabilities. The estimator does not require knowledge of the loss transform and is implementable for any reduced-form model of correlated...