Computation of credit portfolio loss distribution by a cross entropy method

DOI10.1007/S12190-015-0941-3MaRDI QIDQ330381zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

importance samplingnormal copulaMonte Carlo methodcredit riskcross-entropy methodStudent \(t\)-copula

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Numerical methods (including Monte Carlo methods) (91G60) Portfolio theory (91G10) Credit risk (91G40)

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Cites work

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• A study on the cross-entropy method for rare-event probability estimation
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• Efficient estimation of large portfolio loss probabilities in \(t\)-copula models
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• Fast Simulation of Multifactor Portfolio Credit Risk
• Handbook of Monte Carlo Methods
• Importance sampling for portfolio credit risk
• Improved cross-entropy method for estimation
• Introduction to rare event simulation.
• On Information and Sufficiency
• Portfolio Credit Risk with Extremal Dependence: Asymptotic Analysis and Efficient Simulation
• Rare-event probability estimation with conditional Monte Carlo
• The cross-entropy method for combinatorial and continuous optimization

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

Describes a project that uses

Uses Software

• CreditRisk+

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