Importance Sampling in the Presence of PD-LGD Correlation
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- repec:czx:journl:v:18:y:2011:i:28:id:183 is not listed on IDEAS
- Scott, Alexandre & Metzler, Adam, 2015. "A general importance sampling algorithm for estimating portfolio loss probabilities in linear factor models," Insurance: Mathematics and Economics, Elsevier, vol. 64(C), pages 279-293.
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Cited by:
- Christoph Frei, 2020. "A New Approach to Risk Attribution and Its Application in Credit Risk Analysis," Risks, MDPI, vol. 8(2), pages 1-13, June.
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Keywords
importance sampling; acceptance-rejection sampling; portfolio credit risk; tail probabilities; large deviation probabilities; stochastic recovery; PD-LGD correlation; credit risk; loss probabilities;All these keywords.
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