A general importance sampling algorithm for estimating portfolio loss probabilities in linear factor models

DOI10.1016/j.insmatheco.2015.06.001zbMath1348.91287OpenAlexW3123679122MaRDI QIDQ495492

Alexandre Scott, Adam Metzler

Publication date: 14 September 2015

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2015.06.001

zbMATH Keywords

Monte Carloimportance samplingKullback-Leibler divergenceGaussian copulacross-entropy methodportfolio loss\(t\) copulaexponential tilts

Mathematics Subject Classification ID

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

Related Items (6)

State dependent correlations in the Vasicek default model ⋮ LLN-type approximations for large portfolio losses ⋮ A limit distribution of credit portfolio losses with low default probabilities ⋮ The loss given default of a low-default portfolio with weak contagion ⋮ An asymptotic characterization of hidden tail credit risk with actuarial applications ⋮ An inequality unscented transformation for estimating the statistical moments

Cites Work

• Efficient estimation of large portfolio loss probabilities in \(t\)-copula models
• Stochastic simulation: Algorithms and analysis
• Importance Sampling for Portfolio Credit Risk
• A Model Reference Adaptive Search Method for Global Optimization

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