Section: New Results
Credit risk estimation
Participants : Frédéric Cérou, Arnaud Guyader.
We applied our rare event techniques to the Credit Metrics model in order to estimate the probability of large loss. We found that at least on this Gaussian model, our methods compares well with state of the art importance sampling techniques, as proposed by Glasserman et al.  . We are now investigating other models of multifactor portfolio credit risk, as our method is versatile, and can be easily adapted to new models. This is still a work in progress. Preliminary investigations have been made during the internship of Hang Khuc (université de Rennes 2).