Computation of credit portfolio loss distribution by a cross entropy method (Q330381)
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scientific article; zbMATH DE number 6643120
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| default for all languages | No label defined |
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| English | Computation of credit portfolio loss distribution by a cross entropy method |
scientific article; zbMATH DE number 6643120 |
Statements
Computation of credit portfolio loss distribution by a cross entropy method (English)
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25 October 2016
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credit risk
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Monte Carlo method
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importance sampling
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cross-entropy method
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normal copula
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Student \(t\)-copula
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0.8133800029754639
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0.809620201587677
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0.7842470407485962
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0.77852863073349
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0.7776738405227661
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