CARMONA, RENÉ; CRÉPEY, STÉPHANE - In: International Journal of Theoretical and Applied … 13 (2010) 04, pp. 577-602
The goal of the paper is the numerical analysis of the performance of Monte Carlo simulation based methods for the computation of credit-portfolio loss-distributions in the context of Markovian intensity models of credit risk. We concentrate on two of the most frequently touted methods of...