Metamodel of a Large Credit Risk Portfolio in the Gaussian Copula Model

DOI10.1137/19M1292084zbMath1455.91272OpenAlexW2973857287MaRDI QIDQ5144186

Clément Rey, Emmanuel Gobet, Florian Bourgey

Publication date: 15 January 2021

Published in: SIAM Journal on Financial Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1137/19m1292084

zbMATH Keywords

Monte Carlo simulationpolynomial chaos expansionmetamodelportfolio credit riskWiener chaos decomposition

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Monte Carlo methods (65C05) Approximation by polynomials (41A10) Portfolio theory (91G10) Credit risk (91G40)

Related Items

A Comparative Study of Polynomial-Type Chaos Expansions for Indicator Functions

Uses Software

• CreditRisk+

Cites Work

• An introduction to copulas.
• Large portfolio losses
• Coherent Measures of Risk
• REGULATORY CAPITAL MODELING FOR CREDIT RISK
• Importance Sampling for Portfolio Credit Risk
• Normal Approximation and Asymptotic Expansions
• The Malliavin Calculus and Related Topics
• Concentration Risk in Credit Portfolios
• Gaussian and Poisson approximation: applications to CDOs tranche pricing
• Spectral Methods for Uncertainty Quantification
• The Homogeneous Chaos
• Some Integrals Involving Hermite Polynomials
• Credit risk: Modelling, valuation and hedging
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