Pages that link to "Item:Q976453"

The following pages link to Efficient estimation of large portfolio loss probabilities in \(t\)-copula models (Q976453):

Displaying 27 items.

• Cure events in default prediction (Q296900) (← links)
• Computation of credit portfolio loss distribution by a cross entropy method (Q330381) (← links)
• Large deviations theorems for optimal investment problems with large portfolios (Q418070) (← links)
• A general importance sampling algorithm for estimating portfolio loss probabilities in linear factor models (Q495492) (← links)
• Sharp asymptotics for large portfolio losses under extreme risks (Q666988) (← links)
• Improved cross-entropy method for estimation (Q693334) (← links)
• Copula based multivariate semi-Markov models with applications in high-frequency finance (Q723963) (← links)
• Efficient simulations for a Bernoulli mixture model of portfolio credit risk (Q1703543) (← links)
• An improved estimation to make Markowitz's portfolio optimization theory users friendly and estimation accurate with application on the US stock market investment (Q1926915) (← links)
• Large portfolio losses in a turbulent market (Q2030632) (← links)
• Measuring rank correlation coefficients between financial time series: a GARCH-copula based sequence alignment algorithm (Q2255953) (← links)
• Robust portfolio optimization with copulas (Q2256232) (← links)
• Tail approximations for sums of dependent regularly varying random variables under Archimedean copula models (Q2282728) (← links)
• NORTA for portfolio credit risk (Q2288893) (← links)
• Improved estimation of optimal portfolio with an application to the US stock market (Q2301211) (← links)
• Single-index importance sampling with stratification (Q2684956) (← links)
• Smooth nonparametric Bernstein vine copulas (Q4555067) (← links)
• Importance Sampling and Stratification for Copula Models (Q4611794) (← links)
• Mortality Risk Management Under the Factor Copula Framework—With Applications to Insurance Policy Pools (Q4987093) (← links)
• Quantifying credit portfolio losses under multi-factor models (Q5031704) (← links)
• Marginal Likelihood Estimation with the Cross-Entropy Method (Q5080510) (← links)
• (Q5121457) (← links)
• A Compendium of Copulas (Q5162881) (← links)
• Stratified importance sampling for a Bernoulli mixture model of portfolio credit risk (Q6103211) (← links)
• Tail behavior of discounted portfolio loss under upper tail comonotonicity (Q6189846) (← links)
• Efficient algorithms for calculating risk measures and risk contributions in copula credit risk models (Q6199670) (← links)
• Efficient exponential tilting with applications (Q6494401) (← links)