A general importance sampling algorithm for estimating portfolio loss probabilities in linear factor models
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DOI: 10.1016/j.insmatheco.2015.06.001
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References listed on IDEAS
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Cited by:
- Cheng-Der Fuh & Chuan-Ju Wang, 2017. "Efficient Exponential Tilting for Portfolio Credit Risk," Papers 1711.03744, arXiv.org, revised Apr 2019.
- Gerardo Manzo & Antonio Picca, 2020. "The Impact of Sovereign Shocks," Management Science, INFORMS, vol. 66(7), pages 3113-3132, July.
- Metzler A., 2020. "State dependent correlations in the Vasicek default model," Dependence Modeling, De Gruyter, vol. 8(1), pages 298-329, January.
- Adam Metzler & Alexandre Scott, 2020. "Importance Sampling in the Presence of PD-LGD Correlation," Risks, MDPI, vol. 8(1), pages 1-36, March.
- Liu, Jing, 2018. "LLN-type approximations for large portfolio losses," Insurance: Mathematics and Economics, Elsevier, vol. 81(C), pages 71-77.
- Wei, Li & Yuan, Zhongyi, 2016. "The loss given default of a low-default portfolio with weak contagion," Insurance: Mathematics and Economics, Elsevier, vol. 66(C), pages 113-123.
- Shi, Xiaojun & Tang, Qihe & Yuan, Zhongyi, 2017. "A limit distribution of credit portfolio losses with low default probabilities," Insurance: Mathematics and Economics, Elsevier, vol. 73(C), pages 156-167.
- Metzler A., 2020. "State dependent correlations in the Vasicek default model," Dependence Modeling, De Gruyter, vol. 8(1), pages 298-329, January.
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Keywords
Importance sampling; Monte Carlo; Kullback–Leibler divergence; Exponential tilts; Gaussian copula; t copula; Portfolio loss; Cross-entropy method;All these keywords.
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