A general importance sampling algorithm for estimating portfolio loss probabilities in linear factor models (Q495492)
From MaRDI portal
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A general importance sampling algorithm for estimating portfolio loss probabilities in linear factor models |
scientific article |
Statements
A general importance sampling algorithm for estimating portfolio loss probabilities in linear factor models (English)
0 references
14 September 2015
0 references
importance sampling
0 references
Monte Carlo
0 references
Kullback-Leibler divergence
0 references
exponential tilts
0 references
Gaussian copula
0 references
\(t\) copula
0 references
portfolio loss
0 references
cross-entropy method
0 references
