Computation of credit portfolio loss distribution by a cross entropy method

DOI10.1007/S12190-015-0941-3zbMath1347.91233OpenAlexW1844358724MaRDI QIDQ330381

Xiaoying Han, Ruodu Wang

Publication date: 25 October 2016

Published in: Journal of Applied Mathematics and Computing (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s12190-015-0941-3

zbMATH Keywords

importance samplingMonte Carlo methodcredit risknormal copulacross-entropy methodStudent \(t\)-copula

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Monte Carlo methods (65C05) Portfolio theory (91G10) Credit risk (91G40)

Related Items (1)

Efficient algorithms for calculating risk measures and risk contributions in copula credit risk models

Uses Software

• CreditRisk+

Cites Work

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• Handbook of Monte Carlo Methods
• A Fast Cross-Entropy Method for Estimating Buffer Overflows in Queueing Networks
• Importance Sampling for Portfolio Credit Risk
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• Fast Simulation of Multifactor Portfolio Credit Risk
• A Method to Compute Statistics of Large, Noise-Induced Perturbations of Nonlinear Schrödinger Solitons
• On Information and Sufficiency

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