Fast Simulation of Multifactor Portfolio Credit Risk
From MaRDI portal
Recommendations
Cited in
(33)- A simulation environment for discontinuous portfolio value processes
- Large deviations for affine diffusion processes on R_+^m R^n
- An importance sampling method for portfolio risk
- LARGE DEVIATIONS IN MULTIFACTOR PORTFOLIO CREDIT RISK
- Simulating risk contributions of credit portfolios
- Portfolio credit risk with Archimedean copulas: asymptotic analysis and efficient simulation
- Generating copula-correlated random variables: a sequential acceptance-rejection method
- Portfolio Credit Risk with Extremal Dependence: Asymptotic Analysis and Efficient Simulation
- Monte Carlo methods for value-at-risk and conditional value-at-risk: a review
- Sequential importance sampling and resampling for dynamic portfolio credit risk
- Uncertainty quantification and confidence intervals for naive rare-event estimators
- Large portfolio losses in a turbulent market
- Generalized integrated Brownian fields for simulation metamodeling
- Mortality risk management under the factor copula framework -- with applications to insurance policy pools
- Efficient estimation of large portfolio loss probabilities in \(t\)-copula models
- Computation of credit portfolio loss distribution by a cross entropy method
- Interaction particle systems for the computation of rare credit portfolio losses
- Rare-event simulation for neural network and random forest predictors
- Fast simulations in credit risk
- NORTA for portfolio credit risk
- Sharp asymptotics for large portfolio losses under extreme risks
- Online Risk Monitoring Using Offline Simulation
- Multilevel simulation of functionals of Bernoulli random variables with application to basket credit derivatives
- Black-box rare-event simulation for safety testing of AI agents: an overview
- Efficient exponential tilting with applications
- Efficient simulations for a Bernoulli mixture model of portfolio credit risk
- Importance sampling for portfolio credit risk
- Adaptive integration for multi-factor portfolio credit loss models
- Stratified importance sampling for a Bernoulli mixture model of portfolio credit risk
- Increasing the number of inner replications of multifactor portfolio credit risk simulation in the \(t\)-copula model
- Statistical simulation of the insurance of the credit risk of a bond portfolio
- Efficient importance sampling estimation for joint default probability: the first passage time problem
- Optimization Problems in the Simulation of Multifactor Portfolio Credit Risk
This page was built for publication: Fast Simulation of Multifactor Portfolio Credit Risk
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3392241)
