Estimating portfolio loss distribution by Monte Carlo: an Interacting Particle System approach
نویسندگان
چکیده
1 Interacting Particle Systems for the Computation of Rare Events 2 1.1 Twisted Feynman-Kac Expectations . . . . . . . . . . . . . . . . . . . . . . . 3 1.2 IPS and Empirical Estimations . . . . . . . . . . . . . . . . . . . . . . . . . . 4 1.2.1 Model Simulation . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 4 1.2.2 Convergence Results . . . . . . . . . . . . . . . . . . . . . . . . . . . . 6
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