Interacting path systems for credit portfolios risk analysis
Langue
en
Rapport
Ce document a été publié dans
2010-02-10p. 9
Résumé en anglais
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 ...Lire la suite >
Mots clés en anglais
genetic algorithms
Credit portfolios risk analysis
rare event simulation
interacting particle systems
stochastic particle methods
genetic algorithms.