Importance sampling in the presence of PD-LGD correlation
Year of publication: |
2020
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Authors: | Metzler, Adam ; Scott, Alexandre |
Published in: |
Risks : open access journal. - Basel : MDPI, ISSN 2227-9091, ZDB-ID 2704357-5. - Vol. 8.2020, 1/25, p. 1-36
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Subject: | acceptance-rejection sampling | credit risk | importance sampling | large deviation probabilities | loss probabilities | PD-LGD correlation | portfolio credit risk | stochastic recovery | tail probabilities | Theorie | Theory | Kreditrisiko | Credit risk | Wahrscheinlichkeitsrechnung | Probability theory | Stichprobenerhebung | Sampling | Portfolio-Management | Portfolio selection | Statistische Verteilung | Statistical distribution | Korrelation | Correlation | Stochastischer Prozess | Stochastic process |
Type of publication: | Article |
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Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
Language: | English |
Other identifiers: | 10.3390/risks8010025 [DOI] hdl:10419/257980 [Handle] |
Source: | ECONIS - Online Catalogue of the ZBW |
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