Thats a unique idea.You should consider the following idea to enhance your idea so that it would impact uniquely:   develop efficient Monte Carlo methods for large credit portfolios.  assume the default indicators admit a Gaussian copula. Therefore,  are able to embed the default correlations into a continuous Gaussian random field, which is capable of incorporating an infinite size portfolio and potentially highly correlated defaults.  are particularly interested in estimating the expectations, such as the expected number of defaults given that there is at least one default and the expected loss given at least one default. All these quantities turn out to be closely related to the geometric structure of the random field.  will heavily employ random field techniques to construct importance sampling based estimators and provide rigorous efficiency analysis.
['Jose H. Blanchet', 'Jingchen Liu', 'Xuan Yang']
I am writing a research paper on a idea Monte Carlo for large credit portfolios with potentially high correlations
[{"from": "human", "value": "I am writing a research paper on a idea Monte Carlo for large credit portfolios with potentially high correlations"}, {"from": "gpt", "value": "Thats a unique idea.You should consider the following idea to enhance your idea so that it would impact uniquely:   develop efficient Monte Carlo methods for large credit portfolios.  assume the default indicators admit a Gaussian copula. Therefore,  are able to embed the default correlations into a continuous Gaussian random field, which is capable of incorporating an infinite size portfolio and potentially highly correlated defaults.  are particularly interested in estimating the expectations, such as the expected number of defaults given that there is at least one default and the expected loss given at least one default. All these quantities turn out to be closely related to the geometric structure of the random field.  will heavily employ random field techniques to construct importance sampling based estimators and provide rigorous efficiency analysis."}]