An importance sampling method for portfolio risk
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Publication:3462867
DOI10.11908/J.ISSN.0253-374X.2015.04.022zbMATH Open1340.91144MaRDI QIDQ3462867FDOQ3462867
Authors: Qian Wu, Li Hua Sun, Chenglong Xu 
Publication date: 15 January 2016
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Cited In (20)
- Sequential Monte Carlo samplers for capital allocation under copula-dependent risk models
- Importance sampling in stochastic optimization: an application to intertemporal portfolio choice
- Stability analysis of the expected shortfall estimation
- Portfolio credit risk with Archimedean copulas: asymptotic analysis and efficient simulation
- Simulating risk contributions of credit portfolios
- Fast Simulation of Multifactor Portfolio Credit Risk
- Sequential importance sampling and resampling for dynamic portfolio credit risk
- Risk analysis of portfolio based on kernel density estimation-maximum likelihood method and Monte Carlo simulation
- Computation of credit portfolio loss distribution by a cross entropy method
- Computational aspects of portfolio risk estimation in volatile markets: a survey
- Applying importance sampling for estimating coherent credit risk contributions
- A general importance sampling algorithm for estimating portfolio loss probabilities in linear factor models
- Optimally stratified importance sampling for portfolio risk with multiple loss thresholds
- Single-index importance sampling with stratification
- Importance sampling for portfolio credit risk
- Stratified importance sampling for a Bernoulli mixture model of portfolio credit risk
- Adaptive importance sampling for simulating copula-based distributions
- Importance sampling for integrated market and credit portfolio models
- Importance sampling and stratification for copula models
- Optimization Problems in the Simulation of Multifactor Portfolio Credit Risk
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