Giesecke, Kay; Kim, Baeho; Zhu, Shilin - In: Management Science 57 (2011) 12, pp. 2115-2129
portfolios of credit-sensitive assets such as loans and corporate bonds. Monte Carlo simulation is an important tool for … performing computations in these models. This paper develops, analyzes, and evaluates two simulation algorithms for intensity … Zeevi, stochastic models and simulation.</i> …