{"title":"Sequential Importance Sampling and Resampling for Dynamic Portfolio Credit Risk","authors":"Shaojie Deng, K. Giesecke, T. Lai","doi":"10.2139/ssrn.1674204","DOIUrl":null,"url":null,"abstract":"We provide a sequential Monte Carlo method for estimating rare-event probabilities in dynamic, intensity-based point process models of portfolio credit risk. The method is based on a change of measure and involves a resampling mechanism. We propose resampling weights that lead, under technical conditions, to a logarithmically efficient simulation estimator of the probability of large portfolio losses. A numerical analysis illustrates the features of the method and contrasts it with other rare-event schemes recently developed for portfolio credit risk, including an interacting particle scheme and an importance sampling scheme.","PeriodicalId":246078,"journal":{"name":"OPER: Computational Techniques (Topic)","volume":"34 1","pages":"0"},"PeriodicalIF":0.0000,"publicationDate":"2010-09-08","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"16","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"OPER: Computational Techniques (Topic)","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.2139/ssrn.1674204","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}
引用次数: 16
Abstract
We provide a sequential Monte Carlo method for estimating rare-event probabilities in dynamic, intensity-based point process models of portfolio credit risk. The method is based on a change of measure and involves a resampling mechanism. We propose resampling weights that lead, under technical conditions, to a logarithmically efficient simulation estimator of the probability of large portfolio losses. A numerical analysis illustrates the features of the method and contrasts it with other rare-event schemes recently developed for portfolio credit risk, including an interacting particle scheme and an importance sampling scheme.
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