Efficient simulations for a Bernoulli mixture model of portfolio credit risk

DOI10.1007/s10479-016-2241-1zbMath1404.91262OpenAlexW2462855860MaRDI QIDQ1703543

Wolfgang Hörmann, İsmail Başoğlu, Halis Sak

Publication date: 2 March 2018

Published in: Annals of Operations Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10479-016-2241-1

zbMATH Keywords

stratificationcredit riskcross-entropy methodcopula modelsBernoulli mixture modelgeometric shortcut

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Numerical methods (including Monte Carlo methods) (91G60) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Credit risk (91G40)

Related Items (2)

Exchangeable Bernoulli distributions: high dimensional simulation, estimation, and testing ⋮ Stratified importance sampling for a Bernoulli mixture model of portfolio credit risk

Uses Software

• CreditRisk+

Cites Work

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• Efficient estimation of large portfolio loss probabilities in \(t\)-copula models
• Efficient risk simulations for linear asset portfolios in the \(t\)-copula model
• Increasing the number of inner replications of multifactor portfolio credit risk simulation in the t-copula model
• Importance Sampling for Portfolio Credit Risk
• Portfolio Credit Risk with Extremal Dependence: Asymptotic Analysis and Efficient Simulation
• Bayesian Inference in Econometric Models Using Monte Carlo Integration
• Simulation and the Monte Carlo Method
• Fast simulations in credit risk
• Optimally stratified importance sampling for portfolio risk with multiple loss thresholds

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