Ieda, Akira; Marumo, Kohei; Yoshiba, Toshinao - In: Monetary and Economic Studies 18 (2000) 2, pp. 49-82
The common practice for managing the credit risk of lending portfolios is to the calculate the maximum loss within the "value at risk" framework. Most financial institutions use large-scale Monte Carlo simulations to do this. However, such simulations may impose heavy calculation loads. This...