Michael Kalkbrener
Abstract
Abstract This article provides a short introduction to Monte Carlo simulation techniques in structural credit portfolio models. The main focus is on importance sampling, a particularly efficient variance reduction technique for this class of models.
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Abstract This article provides a short introduction to Monte Carlo simulation techniques in structural credit portfolio models. The main focus is on importance sampling, a particularly efficient variance reduction technique for this class of models.
Key concepts: Variance reduction, Portfolio, Monte Carlo method, Importance sampling, Focus (optics), Variance (accounting), Computer science, Class (philosophy)