Efficient estimation of large portfolio loss probabilities in \(t\)-copula models (Q976453)
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scientific article; zbMATH DE number 5720404
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| English | Efficient estimation of large portfolio loss probabilities in \(t\)-copula models |
scientific article; zbMATH DE number 5720404 |
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Efficient estimation of large portfolio loss probabilities in \(t\)-copula models (English)
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11 June 2010
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credit risk
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copula models
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rare-event simulation
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cross-entropy method
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conditional Monte Carlo
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0.8760683536529541
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0.8680799603462219
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0.8269637227058411
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0.8112342953681946
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