Hybrid Monte Carlo methods in credit risk management

@article{Chicca2014HybridMC,
  title={Hybrid Monte Carlo methods in credit risk management},
  author={Lucia Del Chicca and Gerhard Larcher},
  journal={Monte Carlo Methods and Applications},
  year={2014},
  volume={20},
  pages={245 - 260}
}
Abstract In this paper we analyze and compare the use of Monte Carlo, quasi-Monte Carlo and hybrid Monte Carlo methods in the credit risk management system “Credit Metrics” by J. P. Morgan. We show that hybrid sequences, used suitably for simulations, perform better, in many relevant situations, than pure Monte Carlo and pure quasi-Monte Carlo methods, and they only rarely perform worse than these methods. 
2 Citations

On Hybrid Point Sets Stemming from Halton-Type Hammersley Point Sets and Polynomial Lattice Point Sets

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Finite hybrid point sets whose components stem from Halton-type Hammersley Point sets and lattice point sets which are constructed using the arithmetic of the ring of polynomials and the field of rational functions over a finite field are considered.

Desarrollo de un Modelo de Gestión de Riesgos Operacionales basado en las Directrices del Comité de Basilea

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