Efficient estimation of large portfolio loss probabilities in t-copula models
We consider the problem of accurately measuring the credit risk of a portfolio consisting of loans, bonds and other financial assets. One particular performance measure of interest is the probability of large portfolio losses over a fixed time horizon. We revisit the so-called t-copula that generalizes the popular normal copula to allow for extremal dependence among defaults. By utilizing the asymptotic description of how the rare event occurs, we derive two simple simulation algorithms based...[Show more]
|Collections||ANU Research Publications|
|Source:||European Journal of Operational Research|
|01_Chan_Efficient_estimation_of_large_2010.pdf||240.62 kB||Adobe PDF||Request a copy|
Items in Open Research are protected by copyright, with all rights reserved, unless otherwise indicated.