Efficient simulations for a bernoulli mixture model of portfolio credit risk
[ X ]
Tarih
2018
Yazarlar
Dergi Başlığı
Dergi ISSN
Cilt Başlığı
Yayıncı
Springer
Erişim Hakkı
info:eu-repo/semantics/openAccess
Özet
We consider the problem of calculating tail loss probability and conditional excess for the Bernoulli mixture model of credit risk. This is an important problem as all credit risk models proposed in literature can be represented as Bernoulli mixture models. Thus, we deviate from the efficient simulation of credit risk literature in that we propose an efficient simulation algorithm for this general Bernoulli mixture model in contrast to previous works that focus on specific credit risk models like CreditRisk or Credit Metrics. The algorithm we propose is a combination of stratification, importance sampling based on cross-entropy, and inner replications using the geometric shortcut method. We evaluate the efficiency of our general method considering three different examples: CreditRisk and two of the latent variable models, the Gaussian and the t-copula model. Numerical results suggest that the proposed general algorithm is more efficient than the benchmark methods for these specific models.
Açıklama
55th Meeting of EURO-Working-Group on Commodities and Financial Modelling (EWGCFM) -- MAY 14-16, 2015 -- METU, Ankara, TURKEY
Sak, Halis/0000-0001-9205-0619
Sak, Halis/0000-0001-9205-0619
Anahtar Kelimeler
Credit Risk, Bernoulli Mixture Model, Copula Models, Geometric Shortcut, Cross-Entropy Method, Stratification
Kaynak
Annals of Operations Research
WoS Q Değeri
Q1
Scopus Q Değeri
Q1
Cilt
260
Sayı
1-2
