The management of credit risky assets requires simulation models that integrate the disparate sources of credit and market risk, and suitable optimization models for scenario analysis. In this paper we integrate Monte Carlo simulation models for credit risk with scenario optimization, and...

We discuss extensions of intensity based models for pricing credit risk and derivative securities to the simulation and valuation of portfolios. The stochasticity in interest rates, credit spreads (default intensities) and rating migrations are incorporated in a unified framework. Scenarios of...

Tails are of paramount importance in shaping the risk profile of portfolios with credit risk sensitive securities. In this context risk management tools require simulations that accurately capture the tails, and optimization models that limit tail effects. Ignoring the tails in the simulation or...