{"id":"https://openalex.org/W4239208925","doi":"https://doi.org/10.1109/wsc.2007.4419694","title":"Approximations and control variates for pricing portfolio credit derivatives","display_name":"Approximations and control variates for pricing portfolio credit derivatives","publication_year":2007,"publication_date":"2007-01-01","ids":{"openalex":"https://openalex.org/W4239208925","doi":"https://doi.org/10.1109/wsc.2007.4419694"},"language":"en","primary_location":{"id":"doi:10.1109/wsc.2007.4419694","is_oa":false,"landing_page_url":"https://doi.org/10.1109/wsc.2007.4419694","pdf_url":null,"source":{"id":"https://openalex.org/S4363608517","display_name":"2007 Winter Simulation Conference","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"host_organization":null,"host_organization_name":null,"host_organization_lineage":[],"host_organization_lineage_names":[],"type":"conference"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"2007 Winter Simulation Conference","raw_type":"proceedings-article"},"type":"article","indexed_in":["crossref"],"open_access":{"is_oa":false,"oa_status":"closed","oa_url":null,"any_repository_has_fulltext":false},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5100370052","display_name":"Zhiyong Chen","orcid":"https://orcid.org/0000-0001-9247-5019"},"institutions":[],"countries":[],"is_corresponding":false,"raw_author_name":"Zhiyong Chen","raw_affiliation_strings":["Bear, Stearns & Company,  Inc., NY, USA"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Bear, Stearns & Company,  Inc., NY, USA","institution_ids":[]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5026619574","display_name":"Paul Glasserman","orcid":"https://orcid.org/0000-0002-9577-0205"},"institutions":[{"id":"https://openalex.org/I78577930","display_name":"Columbia University","ror":"https://ror.org/00hj8s172","country_code":"US","type":"education","lineage":["https://openalex.org/I78577930"]}],"countries":["US"],"is_corresponding":false,"raw_author_name":"Paul Glasserman","raw_affiliation_strings":["Columbia Business School, Columbia University, NY, USA"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Columbia Business School, Columbia University, NY, USA","institution_ids":["https://openalex.org/I78577930"]}]}],"institutions":[],"countries_distinct_count":1,"institutions_distinct_count":2,"corresponding_author_ids":[],"corresponding_institution_ids":[],"apc_list":null,"apc_paid":null,"fwci":0.0,"has_fulltext":false,"cited_by_count":0,"citation_normalized_percentile":{"value":0.6627907,"is_in_top_1_percent":false,"is_in_top_10_percent":false},"cited_by_percentile_year":null,"biblio":{"volume":"2","issue":null,"first_page":"976","last_page":"983"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T11496","display_name":"Credit Risk and Financial Regulations","score":0.9998999834060669,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T11496","display_name":"Credit Risk and Financial Regulations","score":0.9998999834060669,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T10067","display_name":"Stochastic processes and financial applications","score":0.9916999936103821,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T10127","display_name":"Banking stability, regulation, efficiency","score":0.9789000153541565,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/collateralized-debt-obligation","display_name":"Collateralized debt obligation","score":0.8366658687591553},{"id":"https://openalex.org/keywords/control-variates","display_name":"Control variates","score":0.7503859400749207},{"id":"https://openalex.org/keywords/credit-derivative","display_name":"Credit derivative","score":0.7160619497299194},{"id":"https://openalex.org/keywords/monte-carlo-method","display_name":"Monte Carlo method","score":0.6967095136642456},{"id":"https://openalex.org/keywords/portfolio","display_name":"Portfolio","score":0.537919282913208},{"id":"https://openalex.org/keywords/copula","display_name":"Copula (linguistics)","score":0.4986588954925537},{"id":"https://openalex.org/keywords/computer-science","display_name":"Computer science","score":0.46145710349082947},{"id":"https://openalex.org/keywords/econometrics","display_name":"Econometrics","score":0.4417579174041748},{"id":"https://openalex.org/keywords/economics","display_name":"Economics","score":0.35630056262016296},{"id":"https://openalex.org/keywords/hybrid-monte-carlo","display_name":"Hybrid Monte Carlo","score":0.3444867432117462},{"id":"https://openalex.org/keywords/credit-risk","display_name":"Credit risk","score":0.2909438908100128},{"id":"https://openalex.org/keywords/actuarial-science","display_name":"Actuarial science","score":0.2619558572769165},{"id":"https://openalex.org/keywords/financial-economics","display_name":"Financial economics","score":0.26030516624450684},{"id":"https://openalex.org/keywords/mathematics","display_name":"Mathematics","score":0.2492583990097046},{"id":"https://openalex.org/keywords/finance","display_name":"Finance","score":0.1645011305809021},{"id":"https://openalex.org/keywords/markov-chain-monte-carlo","display_name":"Markov chain Monte Carlo","score":0.15908300876617432}],"concepts":[{"id":"https://openalex.org/C86537402","wikidata":"https://www.wikidata.org/wiki/Q1108930","display_name":"Collateralized debt obligation","level":3,"score":0.8366658687591553},{"id":"https://openalex.org/C121683094","wikidata":"https://www.wikidata.org/wiki/Q3554721","display_name":"Control variates","level":5,"score":0.7503859400749207},{"id":"https://openalex.org/C44309892","wikidata":"https://www.wikidata.org/wiki/Q691313","display_name":"Credit derivative","level":3,"score":0.7160619497299194},{"id":"https://openalex.org/C19499675","wikidata":"https://www.wikidata.org/wiki/Q232207","display_name":"Monte Carlo method","level":2,"score":0.6967095136642456},{"id":"https://openalex.org/C2780821815","wikidata":"https://www.wikidata.org/wiki/Q5340806","display_name":"Portfolio","level":2,"score":0.537919282913208},{"id":"https://openalex.org/C17618745","wikidata":"https://www.wikidata.org/wiki/Q207509","display_name":"Copula (linguistics)","level":2,"score":0.4986588954925537},{"id":"https://openalex.org/C41008148","wikidata":"https://www.wikidata.org/wiki/Q21198","display_name":"Computer science","level":0,"score":0.46145710349082947},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.4417579174041748},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.35630056262016296},{"id":"https://openalex.org/C13153151","wikidata":"https://www.wikidata.org/wiki/Q1639846","display_name":"Hybrid Monte Carlo","level":4,"score":0.3444867432117462},{"id":"https://openalex.org/C178350159","wikidata":"https://www.wikidata.org/wiki/Q162714","display_name":"Credit risk","level":2,"score":0.2909438908100128},{"id":"https://openalex.org/C162118730","wikidata":"https://www.wikidata.org/wiki/Q1128453","display_name":"Actuarial science","level":1,"score":0.2619558572769165},{"id":"https://openalex.org/C106159729","wikidata":"https://www.wikidata.org/wiki/Q2294553","display_name":"Financial economics","level":1,"score":0.26030516624450684},{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.2492583990097046},{"id":"https://openalex.org/C10138342","wikidata":"https://www.wikidata.org/wiki/Q43015","display_name":"Finance","level":1,"score":0.1645011305809021},{"id":"https://openalex.org/C111350023","wikidata":"https://www.wikidata.org/wiki/Q1191869","display_name":"Markov chain Monte Carlo","level":3,"score":0.15908300876617432},{"id":"https://openalex.org/C105795698","wikidata":"https://www.wikidata.org/wiki/Q12483","display_name":"Statistics","level":1,"score":0.0},{"id":"https://openalex.org/C2777910564","wikidata":"https://www.wikidata.org/wiki/Q694563","display_name":"Collateral","level":2,"score":0.0}],"mesh":[],"locations_count":2,"locations":[{"id":"doi:10.1109/wsc.2007.4419694","is_oa":false,"landing_page_url":"https://doi.org/10.1109/wsc.2007.4419694","pdf_url":null,"source":{"id":"https://openalex.org/S4363608517","display_name":"2007 Winter Simulation Conference","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"host_organization":null,"host_organization_name":null,"host_organization_lineage":[],"host_organization_lineage_names":[],"type":"conference"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"2007 Winter Simulation Conference","raw_type":"proceedings-article"},{"id":"pmh:oai:CiteSeerX.psu:10.1.1.172.1477","is_oa":false,"landing_page_url":"http://citeseerx.ist.psu.edu/viewdoc/summary?doi=10.1.1.172.1477","pdf_url":null,"source":null,"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"http://www.informs-sim.org/wsc07papers/113.pdf","raw_type":"text"}],"best_oa_location":null,"sustainable_development_goals":[{"display_name":"Partnerships for the goals","score":0.4099999964237213,"id":"https://metadata.un.org/sdg/17"}],"awards":[],"funders":[],"has_content":{"pdf":false,"grobid_xml":false},"content_urls":null,"referenced_works_count":7,"referenced_works":["https://openalex.org/W562270862","https://openalex.org/W2152927005","https://openalex.org/W2282382832","https://openalex.org/W4312286431","https://openalex.org/W6615840080","https://openalex.org/W6682570235","https://openalex.org/W6769896213"],"related_works":["https://openalex.org/W1495922657","https://openalex.org/W1893283074","https://openalex.org/W2747807590","https://openalex.org/W341557335","https://openalex.org/W1650112001","https://openalex.org/W2486356477","https://openalex.org/W2200397054","https://openalex.org/W1607881192","https://openalex.org/W4239208925","https://openalex.org/W2155071094"],"abstract_inverted_index":{"Portfolio":[0],"credit":[1,13,86],"derivatives":[2,87],"that":[3],"depend":[4],"on":[5],"default":[6],"correlation":[7],"are":[8],"increasingly":[9],"widespread":[10],"in":[11,48],"the":[12,49,59,66],"market.":[14],"Valuing":[15],"such":[16],"products":[17],"often":[18],"entails":[19],"Monte":[20,28,69],"Carlo":[21,29,70],"simulation.":[22],"However,":[23],"for":[24,41],"large":[25],"portfolios,":[26],"plain":[27],"simulation":[30],"can":[31],"be":[32,80],"slow.":[33],"In":[34],"this":[35],"paper,":[36],"we":[37],"develop":[38],"approximation":[39,73],"methods":[40,74],"pricing":[42,83],"collateralized":[43],"debt":[44],"obligation":[45],"(CDO)":[46],"tranches":[47],"widely":[50],"used":[51],"factor":[52],"copula":[53],"approach.":[54],"We":[55],"also":[56],"discuss":[57],"using":[58],"approximations":[60],"as":[61,88],"control":[62,76],"variates":[63],"to":[64,82],"improve":[65],"precision":[67],"of":[68],"estimates.":[71],"These":[72],"and":[75],"variate":[77],"techniques":[78],"could":[79],"applied":[81],"other":[84],"portfolio":[85],"well.":[89]},"counts_by_year":[],"updated_date":"2026-06-11T09:08:48.828518","created_date":"2025-10-10T00:00:00"}