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Importance Sampling for Portfolio Credit Risk

Citations

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Cited by:

  1. Han, Chulwoo & Park, Frank C., 2022. "A geometric framework for covariance dynamics," Journal of Banking & Finance, Elsevier, vol. 134(C).
  2. Zhao, Yixing & Mamon, Rogemar & Gao, Huan, 2018. "A two-decrement model for the valuation and risk measurement of a guaranteed annuity option," Econometrics and Statistics, Elsevier, vol. 8(C), pages 231-249.
  3. Gerardo Manzo & Antonio Picca, 2020. "The Impact of Sovereign Shocks," Management Science, INFORMS, vol. 66(7), pages 3113-3132, July.
  4. Mohamed A. Ayadi & Hatem Ben-Ameur & Nabil Channouf & Quang Khoi Tran, 2019. "NORTA for portfolio credit risk," Annals of Operations Research, Springer, vol. 281(1), pages 99-119, October.
  5. Soumyadip Ghosh & Raghu Pasupathy, 2012. "C-NORTA: A Rejection Procedure for Sampling from the Tail of Bivariate NORTA Distributions," INFORMS Journal on Computing, INFORMS, vol. 24(2), pages 295-310, May.
  6. Zhiyong Chen & Paul Glasserman, 2008. "Fast Pricing of Basket Default Swaps," Operations Research, INFORMS, vol. 56(2), pages 286-303, April.
  7. Erik Hintz & Marius Hofert & Christiane Lemieux & Yoshihiro Taniguchi, 2022. "Single-Index Importance Sampling with Stratification," Methodology and Computing in Applied Probability, Springer, vol. 24(4), pages 3049-3073, December.
  8. Hsieh, Ming-Hua & Lee, Yi-Hsi & Shyu, So-De & Chiu, Yu-Fen, 2019. "Estimating multifactor portfolio credit risk: A variance reduction approach," Pacific-Basin Finance Journal, Elsevier, vol. 57(C).
  9. Matthias Fischer & Thorsten Moser & Marius Pfeuffer, 2018. "A Discussion on Recent Risk Measures with Application to Credit Risk: Calculating Risk Contributions and Identifying Risk Concentrations," Risks, MDPI, vol. 6(4), pages 1-28, December.
  10. Parrini, Alessandro, 2013. "Importance Sampling for Portfolio Credit Risk in Factor Copula Models," MPRA Paper 103745, University Library of Munich, Germany.
  11. Dimitrios Bisias & Mark Flood & Andrew W. Lo & Stavros Valavanis, 2012. "A Survey of Systemic Risk Analytics," Annual Review of Financial Economics, Annual Reviews, vol. 4(1), pages 255-296, October.
  12. Plischke, Elmar & Borgonovo, Emanuele, 2019. "Copula theory and probabilistic sensitivity analysis: Is there a connection?," European Journal of Operational Research, Elsevier, vol. 277(3), pages 1046-1059.
  13. Anand Deo & Sandeep Juneja, 2021. "Credit Risk: Simple Closed-Form Approximate Maximum Likelihood Estimator," Operations Research, INFORMS, vol. 69(2), pages 361-379, March.
  14. Chan, Joshua C.C. & Kroese, Dirk P., 2010. "Efficient estimation of large portfolio loss probabilities in t-copula models," European Journal of Operational Research, Elsevier, vol. 205(2), pages 361-367, September.
  15. Huang, Xin & Zhou, Hao & Zhu, Haibin, 2012. "Assessing the systemic risk of a heterogeneous portfolio of banks during the recent financial crisis," Journal of Financial Stability, Elsevier, vol. 8(3), pages 193-205.
  16. Guangxin Jiang & L. Jeff Hong & Barry L. Nelson, 2020. "Online Risk Monitoring Using Offline Simulation," INFORMS Journal on Computing, INFORMS, vol. 32(2), pages 356-375, April.
  17. Rongda Chen & Ze Wang & Lean Yu, 2017. "Importance Sampling for Credit Portfolio Risk with Risk Factors Having t-Copula," International Journal of Information Technology & Decision Making (IJITDM), World Scientific Publishing Co. Pte. Ltd., vol. 16(04), pages 1101-1124, July.
  18. Lee, Yongwoong & Yang, Kisung, 2019. "Modeling diversification and spillovers of loan portfolios' losses by LHP approximation and copula," International Review of Financial Analysis, Elsevier, vol. 66(C).
  19. André Lucas & Bernd Schwaab & Xin Zhang, 2017. "Modeling Financial Sector Joint Tail Risk in the Euro Area," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 32(1), pages 171-191, January.
  20. M. Dietsch & C. Welter-Nicol, 2014. "Do LTV and DSTI caps make banks more resilient?," Débats économiques et financiers 13, Banque de France.
  21. Guangwu Liu, 2015. "Simulating Risk Contributions of Credit Portfolios," Operations Research, INFORMS, vol. 63(1), pages 104-121, February.
  22. So Yeon Chun & Miguel A. Lejeune, 2020. "Risk-Based Loan Pricing: Portfolio Optimization Approach with Marginal Risk Contribution," Management Science, INFORMS, vol. 66(8), pages 3735-3753, August.
  23. Tilke, Stephan, 2006. "Reducing Asset Weights' Volatility by Importance Sampling in Stochastic Credit Portfolio Optimization," University of Regensburg Working Papers in Business, Economics and Management Information Systems 417, University of Regensburg, Department of Economics.
  24. İsmail Başoğlu & Wolfgang Hörmann & Halis Sak, 2018. "Efficient simulations for a Bernoulli mixture model of portfolio credit risk," Annals of Operations Research, Springer, vol. 260(1), pages 113-128, January.
  25. Youngjun Choe & Henry Lam & Eunshin Byon, 2018. "Uncertainty Quantification of Stochastic Simulation for Black-box Computer Experiments," Methodology and Computing in Applied Probability, Springer, vol. 20(4), pages 1155-1172, December.
  26. Collins, Sean & Gallagher, Emily, 2016. "Assessing the credit risk of money market funds during the eurozone crisis," Journal of Financial Stability, Elsevier, vol. 25(C), pages 150-165.
  27. Battulga Gankhuu, 2024. "Bayesian Markov-Switching Vector Autoregressive Process," Papers 2404.11235, arXiv.org, revised Sep 2024.
  28. Paul Glasserman & Sandeep Juneja, 2008. "Uniformly Efficient Importance Sampling for the Tail Distribution of Sums of Random Variables," Mathematics of Operations Research, INFORMS, vol. 33(1), pages 36-50, February.
  29. Jie Shen & Yi Shen & Bin Wang & Ruodu Wang, 2019. "Distributional compatibility for change of measures," Finance and Stochastics, Springer, vol. 23(3), pages 761-794, July.
  30. García-Céspedes, Rubén & Moreno, Manuel, 2017. "An approximate multi-period Vasicek credit risk model," Journal of Banking & Finance, Elsevier, vol. 81(C), pages 105-113.
  31. Takaaki Koike & Marius Hofert, 2019. "Markov Chain Monte Carlo Methods for Estimating Systemic Risk Allocations," Papers 1909.11794, arXiv.org, revised May 2020.
  32. Palombini, Edgardo, 2009. "Factor models and the credit risk of a loan portfolio," MPRA Paper 20107, University Library of Munich, Germany.
  33. Mario Cerrato & John Crosby & Minjoo Kim & Yang Zhao, 2015. "Correlated Defaults of UK Banks: Dynamics and Asymmetries," Working Papers 2015_24, Business School - Economics, University of Glasgow.
  34. Sunggon Kim & Jisu Yu, 2023. "Stratified importance sampling for a Bernoulli mixture model of portfolio credit risk," Annals of Operations Research, Springer, vol. 322(2), pages 819-849, March.
  35. Avramidis, Panagiotis & Pasiouras, Fotios, 2015. "Calculating systemic risk capital: A factor model approach," Journal of Financial Stability, Elsevier, vol. 16(C), pages 138-150.
  36. García-Céspedes, Rubén & Moreno, Manuel, 2022. "The generalized Vasicek credit risk model: A Machine Learning approach," Finance Research Letters, Elsevier, vol. 47(PA).
  37. Angelos Dassios & Hongbiao Zhao, 2017. "Efficient Simulation of Clustering Jumps with CIR Intensity," Operations Research, INFORMS, vol. 65(6), pages 1494-1515, December.
  38. Hatem Çoban & İpek Deveci Kocakoç & Şemsettin Erken & Mehmet Akif Aksoy, 2019. "Reducing Variation of Risk Estimation by Using Importance Sampling," Alphanumeric Journal, Bahadir Fatih Yildirim, vol. 7(2), pages 173-184, December.
  39. Ouyang, Ruolan & Chen, Xiang & Fang, Yi & Zhao, Yang, 2022. "Systemic risk of commodity markets: A dynamic factor copula approach," International Review of Financial Analysis, Elsevier, vol. 82(C).
  40. Leitao, Álvaro & Ortiz-Gracia, Luis, 2020. "Model-free computation of risk contributions in credit portfolios," Applied Mathematics and Computation, Elsevier, vol. 382(C).
  41. Adam Metzler & Alexandre Scott, 2020. "Importance Sampling in the Presence of PD-LGD Correlation," Risks, MDPI, vol. 8(1), pages 1-36, March.
  42. Ferrer, Alex & Casals, José & Sotoca, Sonia, 2016. "Efficient estimation of unconditional capital by Monte Carlo simulation," Finance Research Letters, Elsevier, vol. 16(C), pages 75-84.
  43. Florian Bourgey & Emmanuel Gobet & Clément Rey, 2020. "Meta-model of a large credit risk portfolio in the Gaussian copula model," Post-Print hal-02291548, HAL.
  44. Huyen Pham, 2007. "Some applications and methods of large deviations in finance and insurance," Papers math/0702473, arXiv.org, revised Feb 2007.
  45. 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.
  46. Bernard, Carole & Czado, Claudia, 2015. "Conditional quantiles and tail dependence," Journal of Multivariate Analysis, Elsevier, vol. 138(C), pages 104-126.
  47. Joshua Chan & Dirk Kroese, 2011. "Rare-event probability estimation with conditional Monte Carlo," Annals of Operations Research, Springer, vol. 189(1), pages 43-61, September.
  48. Henry Lam & Clementine Mottet, 2017. "Tail Analysis Without Parametric Models: A Worst-Case Perspective," Operations Research, INFORMS, vol. 65(6), pages 1696-1711, December.
  49. Richard J Martin, 2011. "Saddlepoint methods in portfolio theory," Papers 1201.0106, arXiv.org.
  50. repec:hal:wpaper:hal-02291548 is not listed on IDEAS
  51. Giuseppe Genovese & Ashkan Nikeghbali & Nicola Serra & Gabriele Visentin, 2022. "Universal approximation of credit portfolio losses using Restricted Boltzmann Machines," Papers 2202.11060, arXiv.org, revised Apr 2023.
  52. Cheng-Der Fuh & Chuan-Ju Wang, 2017. "Efficient Exponential Tilting for Portfolio Credit Risk," Papers 1711.03744, arXiv.org, revised Apr 2019.
  53. Dirk Tasche, 2009. "Capital allocation for credit portfolios with kernel estimators," Quantitative Finance, Taylor & Francis Journals, vol. 9(5), pages 581-595.
  54. Busch, Ramona & Koziol, Philipp & Mitrovic, Marc, 2015. "Many a little makes a mickle: Macro portfolio stress test for small and medium-sized German banks," Discussion Papers 23/2015, Deutsche Bundesbank.
  55. Tang, Qihe & Tang, Zhaofeng & Yang, Yang, 2019. "Sharp asymptotics for large portfolio losses under extreme risks," European Journal of Operational Research, Elsevier, vol. 276(2), pages 710-722.
  56. Ikeda, Yuki, 2021. "Efficient Computation of Portfolio Credit Risk with Chain Default," MPRA Paper 106652, University Library of Munich, Germany.
  57. Grundke, Peter, 2009. "Importance sampling for integrated market and credit portfolio models," European Journal of Operational Research, Elsevier, vol. 194(1), pages 206-226, April.
  58. García-Céspedes, Rubén & Moreno, Manuel, 2014. "Estimating the distribution of total default losses on the Spanish financial system," Journal of Banking & Finance, Elsevier, vol. 49(C), pages 242-261.
  59. Daniel J. Egger & Claudio Gambella & Jakub Marecek & Scott McFaddin & Martin Mevissen & Rudy Raymond & Andrea Simonetto & Stefan Woerner & Elena Yndurain, 2020. "Quantum Computing for Finance: State of the Art and Future Prospects," Papers 2006.14510, arXiv.org, revised Jan 2021.
  60. Puzanova, Natalia & Düllmann, Klaus, 2013. "Systemic risk contributions: A credit portfolio approach," Journal of Banking & Finance, Elsevier, vol. 37(4), pages 1243-1257.
  61. Tim J. Brereton & Dirk P. Kroese & Joshua C. Chan, 2012. "Monte Carlo Methods for Portfolio Credit Risk," ANU Working Papers in Economics and Econometrics 2012-579, Australian National University, College of Business and Economics, School of Economics.
  62. Andrei Rusu, 2020. "Multivariate VaR: A Romanian Market study," The Review of Finance and Banking, Academia de Studii Economice din Bucuresti, Romania / Facultatea de Finante, Asigurari, Banci si Burse de Valori / Catedra de Finante, vol. 12(1), pages 79-95, June.
  63. Philipp Arbenz & Mathieu Cambou & Marius Hofert, 2014. "An importance sampling approach for copula models in insurance," Papers 1403.4291, arXiv.org, revised Apr 2015.
  64. Sak Halis, 2010. "Increasing the number of inner replications of multifactor portfolio credit risk simulation in the t-copula model," Monte Carlo Methods and Applications, De Gruyter, vol. 16(3-4), pages 361-377, January.
  65. Ji, Liuyan & Tan, Ken Seng & Yang, Fan, 2021. "Tail dependence and heavy tailedness in extreme risks," Insurance: Mathematics and Economics, Elsevier, vol. 99(C), pages 282-293.
  66. 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.
  67. Konstantinos Spiliopoulos & Richard B. Sowers, 2013. "Default Clustering in Large Pools: Large Deviations," Papers 1311.0498, arXiv.org, revised Feb 2015.
  68. Dassios, Angelos & Zhao, Hongbiao, 2017. "Efficient simulation of clustering jumps with CIR intensity," LSE Research Online Documents on Economics 74205, London School of Economics and Political Science, LSE Library.
  69. Konstantinos Spiliopoulos, 2014. "Systemic Risk and Default Clustering for Large Financial Systems," Papers 1402.5352, arXiv.org, revised Feb 2015.
  70. Paul Glasserman & Wanmo Kang & Perwez Shahabuddin, 2008. "Fast Simulation of Multifactor Portfolio Credit Risk," Operations Research, INFORMS, vol. 56(5), pages 1200-1217, October.
  71. Collins, Sean & Gallagher, Emily, 2014. "Assessing Credit Risk in Money Market Fund Portfolios," MPRA Paper 56256, University Library of Munich, Germany.
  72. Dan Luo & Dragon Yongjun Tang & Sarah Qian Wang, 2018. "Model specification and collateralized debt obligation (mis)pricing," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 38(11), pages 1284-1312, November.
  73. Dietsch, Michel & Petey, Joël, 2015. "The credit-risk implications of home ownership promotion: The effects of public subsidies and adjustable-rate loans," Journal of Housing Economics, Elsevier, vol. 28(C), pages 103-120.
  74. Huang, Zhenzhen & Kwok, Yue Kuen & Xu, Ziqing, 2024. "Efficient algorithms for calculating risk measures and risk contributions in copula credit risk models," Insurance: Mathematics and Economics, Elsevier, vol. 115(C), pages 132-150.
  75. Rubén García-Céspedes & Manuel Moreno, 2020. "Random LGD adjustments in the Vasicek credit risk model," The European Journal of Finance, Taylor & Francis Journals, vol. 26(18), pages 1856-1875, December.
  76. Alejandro Ferrer Pérez & José Casals Carro & Sonia Sotoca López, 2014. "Linking the problems of estimating and allocating unconditional capital," Documentos de Trabajo del ICAE 2014-13, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
  77. Karthyek R. A. Murthy & Sandeep Juneja & Jose Blanchet, 2012. "State-independent Importance Sampling for Random Walks with Regularly Varying Increments," Papers 1206.3390, arXiv.org, revised Sep 2014.
  78. Cao, Quoc Dung & Choe, Youngjun, 2019. "Cross-entropy based importance sampling for stochastic simulation models," Reliability Engineering and System Safety, Elsevier, vol. 191(C).
  79. Jacopo Giacomelli & Luca Passalacqua, 2021. "Calibrating the CreditRisk + Model at Different Time Scales and in Presence of Temporal Autocorrelation †," Mathematics, MDPI, vol. 9(14), pages 1-30, July.
  80. Pierre-Loic M'eliot & Ashkan Nikeghbali & Gabriele Visentin, 2022. "Mod-Poisson approximation schemes: Applications to credit risk," Papers 2211.04436, arXiv.org.
  81. Takaaki Koike & Marius Hofert, 2020. "Markov Chain Monte Carlo Methods for Estimating Systemic Risk Allocations," Risks, MDPI, vol. 8(1), pages 1-33, January.
  82. Huei-Wen Teng, 2023. "Importance Sampling for Calculating the Value-at-Risk and Expected Shortfall of the Quadratic Portfolio with t-Distributed Risk Factors," Computational Economics, Springer;Society for Computational Economics, vol. 62(3), pages 1125-1154, October.
  83. Black, Lamont & Correa, Ricardo & Huang, Xin & Zhou, Hao, 2016. "The systemic risk of European banks during the financial and sovereign debt crises," Journal of Banking & Finance, Elsevier, vol. 63(C), pages 107-125.
  84. Spiliopoulos, Konstantinos & Sowers, Richard B., 2011. "Recovery rates in investment-grade pools of credit assets: A large deviations analysis," Stochastic Processes and their Applications, Elsevier, vol. 121(12), pages 2861-2898.
  85. Ouyang, Ruolan & Zhang, Xuan, 2020. "Financialization of agricultural commodities: Evidence from China," Economic Modelling, Elsevier, vol. 85(C), pages 381-389.
  86. Tang, Qihe & Tong, Zhiwei & Yang, Yang, 2021. "Large portfolio losses in a turbulent market," European Journal of Operational Research, Elsevier, vol. 292(2), pages 755-769.
  87. Wang, Chuan-Ju & Kao, Ming-Yang, 2016. "Optimal search for parameters in Monte Carlo simulation for derivative pricing," European Journal of Operational Research, Elsevier, vol. 249(2), pages 683-690.
  88. Anand Deo & Sandeep Juneja, 2019. "Credit Risk: Simple Closed Form Approximate Maximum Likelihood Estimator," Papers 1912.12611, arXiv.org.
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