Interacting path systems for credit portfolios risk analysis
Idioma
en
Rapport
Este ítem está publicado en
2010-02-10p. 9
Resumen en inglés
This Note introduces an algorithm (referred to as interacting path systems algorithm, IPaS) based on the first Author multilevel splitting technique and suited to the analysis of multiple defaults in credit portfolios. A ...Leer más >
Palabras clave en inglés
genetic algorithms
Credit portfolios risk analysis
rare event simulation
interacting particle systems
stochastic particle methods
genetic algorithms.