Sensitivity estimates for portfolio credit derivatives using Monte Carlo

@article{Chen2008SensitivityEF,
  title={Sensitivity estimates for portfolio credit derivatives using Monte Carlo},
  author={Zhiyong Chen and Paul Glasserman},
  journal={Finance and Stochastics},
  year={2008},
  volume={12},
  pages={507-540}
}
Portfolio credit derivatives are contracts that are tied to an underlying portfolio of defaultable reference assets and have payoffs that depend on the default times of these assets. The hedging of credit derivatives involves the calculation of the sensitivity of the contract value with respect to changes in the credit spreads of the underlying assets, or, more generally, with respect to parameters of the default-time distributions. We derive and analyze Monte Carlo estimators of these… CONTINUE READING

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