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Portfolio Credit Risk with Extremal Dependence: Asymptotic Analysis and Efficient Simulation

Citations

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Cited by:

  1. 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.
  2. Fan Yang & Yi Zhang, 2024. "Asymptotics of Sum of Heavy-tailed Risks with Copulas," Papers 2411.09657, arXiv.org.
  3. Chiron, Marie & Genest, Christian & Morio, Jérôme & Dubreuil, Sylvain, 2023. "Failure probability estimation through high-dimensional elliptical distribution modeling with multiple importance sampling," Reliability Engineering and System Safety, Elsevier, vol. 235(C).
  4. El Masri, Maxime & Morio, Jérôme & Simatos, Florian, 2021. "Improvement of the cross-entropy method in high dimension for failure probability estimation through a one-dimensional projection without gradient estimation," Reliability Engineering and System Safety, Elsevier, vol. 216(C).
  5. L. Jeff Hong & Sandeep Juneja & Jun Luo, 2014. "Estimating Sensitivities of Portfolio Credit Risk Using Monte Carlo," INFORMS Journal on Computing, INFORMS, vol. 26(4), pages 848-865, November.
  6. Gerardo Manzo & Antonio Picca, 2020. "The Impact of Sovereign Shocks," Management Science, INFORMS, vol. 66(7), pages 3113-3132, July.
  7. 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.
  8. Loretta Mastroeni & Giuseppe D'Acquisto & Maurizio Naldi, 2014. "Evaluation of Credit Risk Under Correlated Defaults: The Cross-Entropy Simulation Approach," Departmental Working Papers of Economics - University 'Roma Tre' 0193, Department of Economics - University Roma Tre.
  9. Konstantinos Spiliopoulos, 2014. "Systemic Risk and Default Clustering for Large Financial Systems," Papers 1402.5352, arXiv.org, revised Feb 2015.
  10. Tang, Qihe & Tong, Zhiwei & Xun, Li, 2022. "Insurance risk analysis of financial networks vulnerable to a shock," European Journal of Operational Research, Elsevier, vol. 301(2), pages 756-771.
  11. 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.
  12. Lei, Lei & Peng, Yijie & Fu, Michael C. & Hu, Jian-Qiang, 2023. "Copula sensitivity analysis for portfolio credit derivatives," European Journal of Operational Research, Elsevier, vol. 308(1), pages 455-466.
  13. 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.
  14. 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.
  15. Millar, Robert & Li, Hui & Li, Jinglai, 2023. "Multicanonical sequential Monte Carlo sampler for uncertainty quantification," Reliability Engineering and System Safety, Elsevier, vol. 237(C).
  16. 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).
  17. Avramidis, Panagiotis & Pasiouras, Fotios, 2015. "Calculating systemic risk capital: A factor model approach," Journal of Financial Stability, Elsevier, vol. 16(C), pages 138-150.
  18. Guangwu Liu, 2015. "Simulating Risk Contributions of Credit Portfolios," Operations Research, INFORMS, vol. 63(1), pages 104-121, February.
  19. Sak, Halis & Hörmann, Wolfgang & Leydold, Josef, 2010. "Efficient risk simulations for linear asset portfolios in the t-copula model," European Journal of Operational Research, Elsevier, vol. 202(3), pages 802-809, May.
  20. 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.
  21. 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.
  22. Fang, Jun & Jiang, Fan & Liu, Yong & Yang, Jingping, 2020. "Copula-based Markov process," Insurance: Mathematics and Economics, Elsevier, vol. 91(C), pages 166-187.
  23. Hengxin Cui & Ken Seng Tan & Fan Yang, 2024. "Portfolio credit risk with Archimedean copulas: asymptotic analysis and efficient simulation," Papers 2411.06640, arXiv.org.
  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. Hörmann, Wolfgang & Sak, Halis, 2010. "t-Copula generation for control variates," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 81(4), pages 782-790.
  26. 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.
  27. 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.
  28. Cheng-Der Fuh & Chuan-Ju Wang, 2017. "Efficient Exponential Tilting for Portfolio Credit Risk," Papers 1711.03744, arXiv.org, revised Apr 2019.
  29. Kraus, Mathias & Feuerriegel, Stefan & Oztekin, Asil, 2020. "Deep learning in business analytics and operations research: Models, applications and managerial implications," European Journal of Operational Research, Elsevier, vol. 281(3), pages 628-641.
  30. Sun, Ying & Wei, Li, 2014. "The finite-time ruin probability with heavy-tailed and dependent insurance and financial risks," Insurance: Mathematics and Economics, Elsevier, vol. 59(C), pages 178-183.
  31. Daniel Dimitrov & Sweder van Wijnbergen, 2023. "Quantifying Systemic Risk in the Presence of Unlisted Banks: Application to the European Banking Sector," Working Papers 768, DNB.
  32. 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.
  33. Anand Deo & Sandeep Juneja, 2021. "Credit Risk: Simple Closed-Form Approximate Maximum Likelihood Estimator," Operations Research, INFORMS, vol. 69(2), pages 361-379, March.
  34. 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.
  35. Anand Deo & Sandeep Juneja, 2019. "Credit Risk: Simple Closed Form Approximate Maximum Likelihood Estimator," Papers 1912.12611, arXiv.org.
  36. 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.
  37. Michael C. Fu & L. Jeff Hong & Jian-Qiang Hu, 2009. "Conditional Monte Carlo Estimation of Quantile Sensitivities," Management Science, INFORMS, vol. 55(12), pages 2019-2027, December.
  38. 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.
  39. 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.
  40. Lourme, Alexandre & Maurer, Frantz, 2017. "Testing the Gaussian and Student's t copulas in a risk management framework," Economic Modelling, Elsevier, vol. 67(C), pages 203-214.
  41. 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.
  42. Tang, Qihe & Tong, Zhiwei & Xun, Li, 2022. "Portfolio risk analysis of excess of loss reinsurance," Insurance: Mathematics and Economics, Elsevier, vol. 102(C), pages 91-110.
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