Efficient estimation of large portfolio loss probabilities in t-copula models
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Publication:976453
DOI10.1016/J.EJOR.2010.01.003zbMATH Open1188.91231OpenAlexW1993676953WikidataQ118141939 ScholiaQ118141939MaRDI QIDQ976453FDOQ976453
Authors: Joshua C. C. Chan, Dirk P. Kroese 
Publication date: 11 June 2010
Published in: European Journal of Operational Research (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.ejor.2010.01.003
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Cites Work
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- Fast Simulation of Multifactor Portfolio Credit Risk
- The transform likelihood ratio method for rare event simulation with heavy tails
- Simulating heavy tailed processes using delayed hazard rate twisting
- Improved algorithms for rare event simulation with heavy tails
- LARGE DEVIATIONS IN MULTIFACTOR PORTFOLIO CREDIT RISK
- Importance sampling for integrated market and credit portfolio models
Cited In (38)
- On the asymptotics of tail conditional expectation for portfolio loss under bivariate Eyraud-Farlie-Gumbel-Morgenstern copula and heavy tails
- Quantifying credit portfolio losses under multi-factor models
- Total loss estimation using copula-based regression models
- Tail approximations for sums of dependent regularly varying random variables under Archimedean copula models
- Metamodel of a large credit risk portfolio in the Gaussian copula model
- Marginal Likelihood Estimation with the Cross-Entropy Method
- Asymptotics for credit portfolio losses due to defaults in a multi-sector model
- Portfolio credit risk with Archimedean copulas: asymptotic analysis and efficient simulation
- Portfolio Credit Risk with Extremal Dependence: Asymptotic Analysis and Efficient Simulation
- A compendium of copulas
- Cure events in default prediction
- An improved estimation to make Markowitz's portfolio optimization theory users friendly and estimation accurate with application on the US stock market investment
- Large portfolio losses in a turbulent market
- Mortality risk management under the factor copula framework -- with applications to insurance policy pools
- Copula based multivariate semi-Markov models with applications in high-frequency finance
- Tail behavior of discounted portfolio loss under upper tail comonotonicity
- Large deviations theorems for optimal investment problems with large portfolios
- Efficient algorithms for calculating risk measures and risk contributions in copula credit risk models
- Computation of credit portfolio loss distribution by a cross entropy method
- Measuring rank correlation coefficients between financial time series: a GARCH-copula based sequence alignment algorithm
- Improved cross-entropy method for estimation
- NORTA for portfolio credit risk
- Portfolio optimization of stock returns in high-dimensions: a copula-based approach
- Sharp asymptotics for large portfolio losses under extreme risks
- Smooth nonparametric Bernstein vine copulas
- A general importance sampling algorithm for estimating portfolio loss probabilities in linear factor models
- Efficient exponential tilting with applications
- The skewed t
- Single-index importance sampling with stratification
- Efficient simulations for a Bernoulli mixture model of portfolio credit risk
- Improved estimation of optimal portfolio with an application to the US stock market
- Stratified importance sampling for a Bernoulli mixture model of portfolio credit risk
- Robust portfolio optimization with copulas
- Modeling the dependence of losses of a financial portfolio using nested Archimedean copulas
- Increasing the number of inner replications of multifactor portfolio credit risk simulation in the \(t\)-copula model
- Some properties of the maximum loss on loan portfolios
- Importance sampling and stratification for copula models
- A note on the large homogeneous portfolio approximation with the Student-\(t\) copula
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