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Reducing Asset Weights' Volatility by Importance Sampling in Stochastic Credit Portfolio Optimization

URN to cite this document: urn:nbn:de:bvb:355-opus-7063

Tilke, Stephan (2006) Reducing Asset Weights' Volatility by Importance Sampling in Stochastic Credit Portfolio Optimization. Regensburger Diskussionsbeiträge zur Wirtschaftswissenschaft 417, Working Paper.

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Other URL: http://www.opus-bayern.de/uni-regensburg/volltexte/2006/706


Abstract

The objective of this paper is to study the effect of importance sampling (IS) techniques on stochastic credit portfolio optimization methods. I introduce a framework that leads to a reduction of volatility of resulting optimal portfolio asset weights. Performance of the method is documented in terms of implementation simplicity and accuracy. It is shown that the incorporated methods make ...

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Item Type:Monograph (Working Paper)
Date:2006
Institutions:Business, Economics and Information Systems
Identification Number:
ValueType
urn:nbn:de:bvb:355-opus-7063URN
RePEc:bay:rdwiwi:706RePEc Handle
Classification:
NotationType
C15Journal of Economics Literature Classification
C61Journal of Economics Literature Classification
G11Journal of Economics Literature Classification
G28Journal of Economics Literature Classification
Keywords:Kreditrisiko , Stochastische Optimierung, Varianzreduktion , CVaR, CVaR , credit risk , stochastic portfolio optimization , importance sampling , CreditMetrics , CreditManager
Subjects:300 Social sciences > 330 Economics
Status:Published
Refereed:No this document will not be refereed
Created at the University of Regensburg:Yes
Owner: Universitätsbibliothek Regensburg
Deposited On:23 Sep 2008 09:24
Last Modified:13 Mar 2014 10:32
Item ID:4533
Owner Only: item control page

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