NORTA for portfolio credit risk
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Publication:2288893
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- Efficient correlation matching for fitting discrete multivariate distributions with arbitrary marginals and normal-copula dependence
- Case studies in multivariate-to-anything transforms for partially specified random vector gener\-a\-tion
- Factor copula model for portfolio credit risk
Cites work
- A matching algorithm for generation of statistically dependent random variables with arbitrary marginals
- A normal copula model for the arrival process in a call center
- An adaptive algorithm for the approximate calculation of multiple integrals
- An introduction to copulas.
- Behavior of the NORTA method for correlated random vector generation as the dimension increases
- Bivariate distributions with given marginals
- Bounds on the value-at-risk for the sum of possibly dependent risks
- Chessboard Distributions and Random Vectors with Specified Marginals and Covariance Matrix
- Coherent measures of risk
- Computing the nearest correlation matrix--a problem from finance
- Conditional Monte Carlo estimation of quantile sensitivities
- Conditional value at risk and related linear programming models for portfolio optimization
- Credit risk optimization using factor models
- Credit risk optimization with conditional Value-at-Risk criterion
- Efficient correlation matching for fitting discrete multivariate distributions with arbitrary marginals and normal-copula dependence
- Efficient estimation of large portfolio loss probabilities in \(t\)-copula models
- Fast Simulation of Multifactor Portfolio Credit Risk
- Generation of Pseudorandom Numbers with Specified Univariate Distributions and Correlation Coefficients
- Importance sampling for integrated market and credit portfolio models
- Importance sampling for portfolio credit risk
- LARGE DEVIATIONS IN MULTIFACTOR PORTFOLIO CREDIT RISK
- Loss Models
- Measuring the coupled risks: A copula-based CVaR model
- Modeling and generating multivariate time-series input processes using a vector autoregressive technique
- Monte Carlo methods for value-at-risk and conditional value-at-risk: a review
- Optimal portfolio selection based on expected shortfall under generalized hyperbolic distribution
- Portfolio Credit Risk with Extremal Dependence: Asymptotic Analysis and Efficient Simulation
- Portfolio Value-at-Risk with Heavy-Tailed Risk Factors
- Properties and estimation of asymmetric exponential power distribution
- Rare-event probability estimation with conditional Monte Carlo
- Remarks on algorithm 006: An adaptive algorithm for numerical integration over an N-dimensional rectangular region
- Robust scenario-based value-at-risk optimization
- Simulating risk contributions of credit portfolios
- Some remarks on the value-at-risk and the conditional value-at-risk
- The Fourier-series method for inverting transforms of probability distributions
Cited in
(4)- C-NORTA: a rejection procedure for sampling from the tail of bivariate NORTA distributions
- Efficient correlation matching for fitting discrete multivariate distributions with arbitrary marginals and normal-copula dependence
- Behavior of the NORTA method for correlated random vector generation as the dimension increases
- A Riemannian tool for clustering of geo-spatial multivariate data
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