Importance sampling and stratification for copula models
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Cites work
- scientific article; zbMATH DE number 2231189 (Why is no real title available?)
- An introduction to copulas.
- Efficient algorithms for basket default swap pricing with multivariate Archimedean copulas
- Efficient estimation of large portfolio loss probabilities in \(t\)-copula models
- Efficient risk simulations for linear asset portfolios in the t-copula model
- Families of Multivariate Distributions
- Importance sampling for portfolio credit risk
- Monte Carlo and quasi-Monte Carlo sampling
- On the distribution of points in a cube and the approximate evaluation of integrals
- Probability. Theory and examples.
- Quasi-random numbers for copula models
- Random variate generation by numerical inversion when only the density is known
- Weighted Average Importance Sampling and Defensive Mixture Distributions
Cited in
(6)- A weighted discrepancy bound of quasi-Monte Carlo importance sampling
- Sequential Monte Carlo samplers for capital allocation under copula-dependent risk models
- Quasi-random numbers for copula models
- Transform MCMC schemes for sampling intractable factor copula models
- Single-index importance sampling with stratification
- Adaptive importance sampling for simulating copula-based distributions
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