The notion of residual estimation risk is introduced in order to study the impact of parameter uncertainty on capital adequacy, for a given risk measure and capital estimation procedure. Residual estimation risk is derived by applying the risk measure on a portfolio consisting of a random loss...

We study sensitivity analysis of portfolio credit derivatives, including basket default swaps and collateralized debt obligations. An unbiased estimator is derived using conditional Monte Carlo for sensitivities with respect to systemic parameters (parameters that influence some or all the...

Bayesian inference relies heavily on numerical Markov chain Monte carlo (MCMC) methods for the estimation of the typically intractable high-dimensional posterior distributions and requires specific inputs. In this paper we introduce a new general and efficient numerical approach to address...