Efficient simulations for a Bernoulli mixture model of portfolio credit risk
type: Item
instance of: scholarly article
title: Efficient simulations for a Bernoulli mixture model of portfolio credit risk
zbMATH Open document ID: 1404.91262
author: İsmail Başoğlu
author: Wolfgang Hörmann
author: Halis Sak
published in: Annals of Operations Research
publication date: 2018-03-02T00:00:00Z
Mathematics Subject Classification ID: 91G40
Mathematics Subject Classification ID: 91G60
Mathematics Subject Classification ID: 62P05
Mathematics Subject Classification ID: 62H05
zbMATH DE Number: 6846267
zbMATH Keywords: credit risk
zbMATH Keywords: Bernoulli mixture model
zbMATH Keywords: copula models
zbMATH Keywords: geometric shortcut
zbMATH Keywords: cross-entropy method
zbMATH Keywords: stratification
describes a project that uses: CreditRisk+
MaRDI profile type: Publication
full work available at URL: s10479-016-2241-1
OpenAlex ID: W2462855860
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cites work: Q4869639
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cites work: Importance Sampling for Portfolio Credit Risk
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cites work: Simulation and the Monte Carlo Method
cites work: Increasing the number of inner replications of multifactor portfolio credit risk simulation in the t-copula model
cites work: Fast simulations in credit risk
cites work: Efficient risk simulations for linear asset portfolios in the \(t\)-copula model
DOI: 10.1007/S10479-016-2241-1
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description: scientific article; zbMATH DE number 6846267