Efficient simulations for a Bernoulli mixture model of portfolio credit risk (Q1703543)
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scientific article; zbMATH DE number 6846267
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| English | Efficient simulations for a Bernoulli mixture model of portfolio credit risk |
scientific article; zbMATH DE number 6846267 |
Statements
Efficient simulations for a Bernoulli mixture model of portfolio credit risk (English)
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2 March 2018
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credit risk
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Bernoulli mixture model
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copula models
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geometric shortcut
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cross-entropy method
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stratification
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0.9044974
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0.88279986
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0.88108265
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0.87609076
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0.87468576
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0.8723789
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0.86774457
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0.8673491
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0.8671572
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