A general importance sampling algorithm for estimating portfolio loss probabilities in linear factor models
type: Item
instance of: scholarly article
title: A general importance sampling algorithm for estimating portfolio loss probabilities in linear factor models
zbMATH Open document ID: 1348.91287
author: Alexandre Scott
author: Adam Metzler
published in: Insurance Mathematics \& Economics
publication date: 2015-09-14T00:00:00Z
Mathematics Subject Classification ID: 91G60
Mathematics Subject Classification ID: 91G10
Mathematics Subject Classification ID: 91G40
zbMATH DE Number: 6481780
zbMATH Keywords: importance sampling
zbMATH Keywords: Monte Carlo
zbMATH Keywords: Kullback-Leibler divergence
zbMATH Keywords: exponential tilts
zbMATH Keywords: Gaussian copula
zbMATH Keywords: \(t\) copula
zbMATH Keywords: portfolio loss
zbMATH Keywords: cross-entropy method
MaRDI profile type: Publication
full work available at URL: j.insmatheco.2015.06.001
OpenAlex ID: W3123679122
cites work: Stochastic simulation: Algorithms and analysis
cites work: Efficient estimation of large portfolio loss probabilities in \(t\)-copula models
cites work: Importance Sampling for Portfolio Credit Risk
cites work: A Model Reference Adaptive Search Method for Global Optimization
DOI: 10.1016/J.INSMATHECO.2015.06.001
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description: scientific article; zbMATH DE number 6481780