Efficient estimation of large portfolio loss probabilities in \(t\)-copula models

DOI10.1016/j.ejor.2010.01.003zbMath1188.91231OpenAlexW1993676953WikidataQ118141939 ScholiaQ118141939MaRDI QIDQ976453

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

zbMATH Keywords

credit riskrare-event simulationcross-entropy methodcopula modelsconditional Monte Carlo

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Portfolio theory (91G10) Credit risk (91G40)

Related Items (26)

Quantifying credit portfolio losses under multi-factor models ⋮ Cure events in default prediction ⋮ Computation of credit portfolio loss distribution by a cross entropy method ⋮ Smooth nonparametric Bernstein vine copulas ⋮ Marginal Likelihood Estimation with the Cross-Entropy Method ⋮ An improved estimation to make Markowitz's portfolio optimization theory users friendly and estimation accurate with application on the US stock market investment ⋮ Stratified importance sampling for a Bernoulli mixture model of portfolio credit risk ⋮ Single-index importance sampling with stratification ⋮ Large deviations theorems for optimal investment problems with large portfolios ⋮ Tail behavior of discounted portfolio loss under upper tail comonotonicity ⋮ Efficient algorithms for calculating risk measures and risk contributions in copula credit risk models ⋮ Efficient simulations for a Bernoulli mixture model of portfolio credit risk ⋮ Importance Sampling and Stratification for Copula Models ⋮ Sharp asymptotics for large portfolio losses under extreme risks ⋮ A general importance sampling algorithm for estimating portfolio loss probabilities in linear factor models ⋮ Improved cross-entropy method for estimation ⋮ Measuring rank correlation coefficients between financial time series: a GARCH-copula based sequence alignment algorithm ⋮ Robust portfolio optimization with copulas ⋮ Copula based multivariate semi-Markov models with applications in high-frequency finance ⋮ Large portfolio losses in a turbulent market ⋮ Tail approximations for sums of dependent regularly varying random variables under Archimedean copula models ⋮ NORTA for portfolio credit risk ⋮ Improved estimation of optimal portfolio with an application to the US stock market ⋮ Unnamed Item ⋮ Mortality Risk Management Under the Factor Copula Framework—With Applications to Insurance Policy Pools ⋮ A Compendium of Copulas

Uses Software

• QRM

Cites Work

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• The transform likelihood ratio method for rare event simulation with heavy tails
• Rare-event probability estimation with conditional Monte Carlo
• Importance sampling for integrated market and credit portfolio models
• Stochastic simulation: Algorithms and analysis
• Importance Sampling for Portfolio Credit Risk
• Portfolio Credit Risk with Extremal Dependence: Asymptotic Analysis and Efficient Simulation
• Fast Simulation of Multifactor Portfolio Credit Risk
• On Bayesian Modeling of Fat Tails and Skewness
• Asymptotic Statistics
• The multivariate skew-normal distribution
• Simulating heavy tailed processes using delayed hazard rate twisting
• LARGE DEVIATIONS IN MULTIFACTOR PORTFOLIO CREDIT RISK
• Improved algorithms for rare event simulation with heavy tails

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