Wanmo Kang, KAIST

Title: Large Deviations, Importance Sampling, and Credit Risk

The measurement of credit risk is a very important problem for the 
management of portfolios. Even though there have been debates on 
the validity of various credit models, some of them are popular in 
practice. We consider the computational issues of some credit risk 
models adopted by commercial softwares. We focus on the efficient 
computations of credit risk under heterogeneous environments. Some 
recent progresses will be summarized as well.