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| Author: | Tchistiakov, V. Smet, J. de Hoogbruin, P. |
| Title: | A credit loss control variable |
| Journal: | Risk
2004 : JUL, VOL. 17:7, p. 81-85 |
| Index terms: | asset management credit financial models risk simulation models |
| Language: | eng |
| Abstract: | This article aims to improve the efficiency of Monte Carlo simulation in valuing a portfolio of credit risky exposures by using the Vasicek distribution as a control variable. The authors show that this technique yields more accurate estimates, especially at low probabilities. |
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