Accelerated ensemble Monte Carlo simulation

Kevin Thompson and Alistair McLeod
01 Apr 2009

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Accurate assessment of the portfolio loss distribution is of great practical importance in portfolio risk measurement, active portfolio management and structured credit trading. Whether it be in assessing the likelihood of unexpected portfolio losses, the determination of economic capital1 or the valuation of tranches of structured portfolios (for example, collateralised debt obligations), the accurate evaluation of the loss distribution is critical. However, because tail events are, by

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