An importance sampling method for portfolio risk

DOI10.11908/J.ISSN.0253-374X.2015.04.022MaRDI QIDQ3462867zbMATH OpenFDO

Authors Qian Wu, Li Hua Sun, Chenglong Xu

Publication date 15 January 2016

Full work available at URL https://doi.org/10.11908/J.ISSN.0253-374X.2015.04.022

zbMATH Keywords

Gaussian copula modelimportance samplingMonte Carlo simulationportfolio risk

Mathematics Subject Classification ID

Portfolio theory (91G10) Numerical methods (including Monte Carlo methods) (91G60)

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Cited in

(22)

• Efficient risk simulations for linear asset portfolios in the t-copula model
• Importance sampling in stochastic optimization: an application to intertemporal portfolio choice
• Adaptive importance sampling for simulating copula-based distributions
• Sequential Monte Carlo samplers for capital allocation under copula-dependent risk models
• Single-index importance sampling with stratification
• Sequential importance sampling and resampling for dynamic portfolio credit risk
• Importance sampling for portfolio credit risk
• Risk analysis of portfolio based on kernel density estimation-maximum likelihood method and Monte Carlo simulation
• Simulating risk contributions of credit portfolios
• Computation of credit portfolio loss distribution by a cross entropy method
• Fast Simulation of Multifactor Portfolio Credit Risk
• Optimization Problems in the Simulation of Multifactor Portfolio Credit Risk
• Stability analysis of the expected shortfall estimation
• Applying importance sampling for estimating coherent credit risk contributions
• Importance sampling and stratification for copula models
• A general importance sampling algorithm for estimating portfolio loss probabilities in linear factor models
• Robust importance sampling for some typical types of utility-based shortfall risk measures using exponential twisting and kernel density techniques
• Optimally stratified importance sampling for portfolio risk with multiple loss thresholds
• Computational aspects of portfolio risk estimation in volatile markets: a survey
• Stratified importance sampling for a Bernoulli mixture model of portfolio credit risk
• Portfolio credit risk with Archimedean copulas: asymptotic analysis and efficient simulation
• Importance sampling for integrated market and credit portfolio models

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