Calculation Of VaR And CVaR For Portfolio Credit Risk Based On Importance Sampling

In order to measure and calculate the portfolio credit risk,J.P.Morgan group has introduced the CreditMetrics which is a quantitative measurement model of credit risk.CreditMetrics is a credit risk measurement model based on VaR method,and the hy-pothesis of portfolio profit is based on Gauss_Copula.In this paper,we introduce the general Monte Carlo method and the two step importance sampling method for Credit-Metrics model to estimate the tail probability.In view of the important role of VaR and CVaR in risk management,a fast and accurate method for calculating VaR and CVaR at the specified probability level is given in this paper,which is explained in detail with the two step importance sampling method.In this paper,the Monte Carlo method and the method proposed in this paper are used to estimate the VaR and CVaR values of credit risk portfolio.The results show that the method proposed in this paper can reduce the variance and improve the calculation accuracy.