Estimating sensitivities of portfolio credit risk using Monte Carlo

Keyphrases

• Monte Carlo 100%
• Portfolio Credit Risk 100%
• Closed-form Expression 66%
• Performance Function 66%
• Performance Measures 33%
• Latent Variable Models 33%
• Conditioning Regimen 33%
• Kernel Methods 33%
• Popular Classes 33%
• Macroeconomic Factors 33%
• Fast Estimator 33%
• Bernoulli Mixture Model 33%
• Idiosyncratic Component 33%
• Doubly Stochastic Models 33%
• Credit Losses 33%
• Credit Risk Management 33%
• Macroeconomic Parameters 33%

Mathematics

• Monte Carlo 100%
• Credit Risk 100%
• Closed Form 50%
• Mixture Model 25%
• Kernel Method 25%
• Stochastic Model 25%
• Performance Measure 25%
• Credit Loss 25%
• Latent Variable Model 25%

Economics, Econometrics and Finance

• Credit 100%
• Macroeconomics 40%
• Item Response Theory 20%
• Risk Management 20%
• Performance Measure ψ 20%