Portfolio credit risk with Archimedean copulas: asymptotic analysis and efficient simulation

DOI10.1007/s10479-022-04717-0zbMath1544.91345MaRDI QIDQ6596951

Fan Yang, Hengxin Cui, Ken Seng Tan

Publication date: 3 September 2024

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

zbMATH Keywords

importance samplingportfolio credit riskArchimedean copulasrare event simulationconditional Monte Carlo

Mathematics Subject Classification ID

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

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