Computation of credit portfolio loss distribution by a cross entropy method
DOI10.1007/S12190-015-0941-3zbMATH Open1347.91233OpenAlexW1844358724MaRDI QIDQ330381FDOQ330381
Authors: Xiaoying Han, Ruodu Wang 
Publication date: 25 October 2016
Published in: Journal of Applied Mathematics and Computing (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s12190-015-0941-3
Recommendations
importance samplingnormal copulaMonte Carlo methodcredit riskcross-entropy methodStudent \(t\)-copula
Monte Carlo methods (65C05) Numerical methods (including Monte Carlo methods) (91G60) Portfolio theory (91G10) Credit risk (91G40)
Cites Work
- Title not available (Why is that?)
- Title not available (Why is that?)
- On Information and Sufficiency
- An introduction to copulas.
- Elliptical copulas: Applicability and limitations.
- Title not available (Why is that?)
- The cross-entropy method for combinatorial and continuous optimization
- Title not available (Why is that?)
- Introduction to rare event simulation.
- A tutorial on the cross-entropy method
- A study on the cross-entropy method for rare-event probability estimation
- Rare-event probability estimation with conditional Monte Carlo
- Handbook of Monte Carlo Methods
- Efficient estimation of large portfolio loss probabilities in \(t\)-copula models
- Importance sampling for portfolio credit risk
- A fast cross-entropy method for estimating buffer overflows in queueing networks
- Portfolio Credit Risk with Extremal Dependence: Asymptotic Analysis and Efficient Simulation
- Fast Simulation of Multifactor Portfolio Credit Risk
- Title not available (Why is that?)
- A Method to Compute Statistics of Large, Noise-Induced Perturbations of Nonlinear Schrödinger Solitons
- Improved cross-entropy method for estimation
Cited In (5)
- PARTICLE METHODS FOR THE ESTIMATION OF CREDIT PORTFOLIO LOSS DISTRIBUTIONS
- Computation for transition matrix and VaR in CreditMetrics model
- Computation of multivariate barrier crossing probability and its applications in credit risk models
- Efficient algorithms for calculating risk measures and risk contributions in copula credit risk models
- Efficient exponential tilting with applications
Uses Software
This page was built for publication: Computation of credit portfolio loss distribution by a cross entropy method
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q330381)
