Name
Abstract | ||
|---|---|---|
We present an importance sampling procedure for the estimation of multifactor portfolio credit risk for the t-copula model, i.e, the case where the risk factors have the multivariate t distribution. We use a version of the multivariate t that can be expressed as a ratio of a multivariate normal and a scaled chi-square random variable. The procedure consists of two steps. First, using the large deviations result for the Gaussian model in Glasserman, Kang, and Shahabuddin (2005a), we devise and apply a change of measure to the chi-square random variable. Then, conditional on the chi-square random variable, we apply the importance sampling procedure developed for the Gaussian copula model in Glasserman, Kang, Shahabuddin (2005b). We support our importance sampling procedure by numerical examples. |
Year | DOI | Venue |
|---|---|---|
2005 | 10.1109/WSC.2005.1574462 | Winter Simulation Conference |
Keywords | Field | DocType |
large deviations result,gaussian copula model,risk factor,gaussian model,numerical example,fast simulation,t-copula model,chi-square random variable,multifactor portfolio credit risk,financial management,random variable,gaussian processes,multivariate normal,importance sampling,risk factors,risk management | Multivariate t-distribution,Econometrics,Importance sampling,Random variable,Computer science,Copula (linguistics),Multivariate statistics,Copula (probability theory),Multivariate normal distribution,Gaussian process,Statistics | Conference |
ISBN | Citations | PageRank |
0-7803-9519-0 | 3 | 0.54 |
References | Authors | |
2 | 2 | |
Name | Order | Citations | PageRank |
|---|---|---|---|
| Wanmo Kang | 1 | 3 | 0.54 |
| Perwez Shahabuddin | 2 | 1364 | 181.65 |