# 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}
}```
• Published 8 May 2014
• Economics, Computer Science
• Monte Carlo Methods and Applications
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

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