A general importance sampling algorithm for estimating portfolio loss probabilities in linear factor models (Q495492)
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scientific article; zbMATH DE number 6481780
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| English | A general importance sampling algorithm for estimating portfolio loss probabilities in linear factor models |
scientific article; zbMATH DE number 6481780 |
Statements
A general importance sampling algorithm for estimating portfolio loss probabilities in linear factor models (English)
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14 September 2015
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importance sampling
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Monte Carlo
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Kullback-Leibler divergence
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exponential tilts
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Gaussian copula
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\(t\) copula
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portfolio loss
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cross-entropy method
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0.91768694
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0.8982319
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0.8876506
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0.88447654
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0.8757273
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0.8647236
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0.86450344
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0.8638236
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