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- W70297813 abstract "This paper aims to estimate joint default probabilities under the structural-form model with a random environment; namely stochastic correlation. By means of a singular perturbation method, we obtain an asymptotic expansion of a two-name joint default probability under a fast mean-reverting stochastic correlation model. The leading order term in the expansion is a joint default probability with an effective constant correlation. Then we incorporate an efficient importance sampling method used to solve a first passage time problem. This procedure constitutes a homogenized importance sampling to solve the full problem of estimating the joint default probability with stochastic correlation models." @default.
- W70297813 created "2016-06-24" @default.
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- W70297813 date "2012-01-01" @default.
- W70297813 modified "2023-09-27" @default.
- W70297813 title "Importance Sampling Estimation of Joint Default Probability under Structural-Form Models with Stochastic Correlation" @default.
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- W70297813 doi "https://doi.org/10.1007/978-3-642-27440-4_22" @default.
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