Adaptive integration for multi-factor portfolio credit loss models
نویسندگان
چکیده
منابع مشابه
Adaptive integration for multi-factor portfolio credit loss models
We propose algorithms of adaptive integration for calculation of the tail probability in multi-factor credit portfolio loss models. We first devise the classical Genz-Malik rule, a deterministic multiple integration rule suitable for portfolio credit models with number of factors less than 8. Later on we arrive at the adaptive Monte Carlo integration, which simply replaces the deterministic int...
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ژورنال
عنوان ژورنال: Journal of Computational and Applied Mathematics
سال: 2009
ISSN: 0377-0427
DOI: 10.1016/j.cam.2009.03.017