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EOR
2010
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14 years 9 months ago
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 interes...
Joshua C. C. Chan, Dirk P. Kroese
109
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WSC
2008
14 years 11 months ago
Optimizing portfolio tail measures: Asymptotics and efficient simulation optimization
We consider a portfolio allocation problem where the objective function is a tail event such as probability of large portfolio losses. The dependence between assets is captured th...
Sandeep Juneja