Increasing the number of inner replications of multifactor portfolio credit risk simulation in the t-copula model

DOI10.1515/MCMA.2010.013zbMath1203.91303MaRDI QIDQ3068190

Halis Sak

Publication date: 13 January 2011

Published in: Monte Carlo Methods and Applications (Search for Journal in Brave)

zbMATH Keywords

Monte Carlo simulationvariance reductioncredit riskexpected shortfallextremal dependenceVaRgeometric shortcut

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Monte Carlo methods (65C05) Credit risk (91G40)

Related Items (1)

Efficient simulations for a Bernoulli mixture model of portfolio credit risk

Cites Work

• Efficient risk simulations for linear asset portfolios in the \(t\)-copula model
• Asymptotically Optimal Importance Sampling and Stratification for Pricing Path-Dependent Options
• Importance Sampling for Portfolio Credit Risk
• Portfolio Credit Risk with Extremal Dependence: Asymptotic Analysis and Efficient Simulation
• The Asymptotic Efficiency of Simulation Estimators
• Tail behaviour of credit loss distributions for general latent factor models
• Improved algorithms for rare event simulation with heavy tails

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