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Credit Risk Frontiers: Subprime Crisis, Pricing and Hedging, CVA, MBS, Ratings, and Liquidity
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Credit Risk Frontiers: Subprime Crisis, Pricing and Hedging, CVA, MBS, Ratings, and Liquidity

by Tomasz R. Bielecki, Damiano Brigo, Frédéric Patras
February 2011
Intermediate to advanced content levelIntermediate to advanced
768 pages
22h 39m
English
Bloomberg Press
Content preview from Credit Risk Frontiers: Subprime Crisis, Pricing and Hedging, CVA, MBS, Ratings, and Liquidity

Chapter 21

Interacting Path Systems for Credit Risk

Pierre Del Moral

Centre INRIA Bordeaux Sud-Ouest and Institut de Mathématiques de Bordeaux

Frédéric Patras

Université de Nice and Zeliade Systems

Interacting particle systems provide one of the most efficient ways to perform variance reduction in Monte Carlo approaches to rare events analysis. This chapter is meant as a general introduction to the theory with a particular emphasis toward applications to credit risk. We survey the main techniques and results, illustrate them with recent findings, and propose a new class of algorithms (referred to as interacting path systems) suited to the analysis of multiple defaults in credit portfolios.

21.1 Introduction

Let us consider one of the simplest ...

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Publisher Resources

ISBN: 9781118003831Purchase book