Importance Sampling Estimation of Loss Density Function under Structural-Form Models

在結構式模型下以重點抽樣法估計損失密度函數

張家璇(Chia-Hsuan Chang)

指導教授 ： 韓傳祥

國立清華大學/科技管理學院/計量財務金融系/碩士(2009年)

摘要

The loss density function is useful for pricing credit derivatives and risk management of credit portfolio. The loss density function concludes estimating the joint default probability and survival probability. Under the structural-form model, computation of the loss density function relies on the estimates of some mixture of joint default probability and joint survival probability. We provide several efficient importance sampling methods to estimate the probability of defaultable and/or survival event. We also provide an empirical study of a correlated hedging for CDS spread.

關鍵字

重點抽樣法 ； 損失密度函數 ； 結構式模型 ； 信用違約交換

並列摘要

無資料

並列關鍵字

Efficient Importance sampling ； Loss density function ； Structural form model ； Credit default swap

參考文獻

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Glassment, P. (2003) ``Monte Carlo Methods in Financial Engineering" Springer.

Han, C-H. and Vestal, D. (2008) ``Importance Sampling for Estimating