Efficient simulations for a bernoulli mixture model of portfolio credit risk

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dc.contributor.authorBaşoğlu, İsmail
dc.contributor.authorHormann, Wolfgang
dc.contributor.authorSak, Halis
dc.date.accessioned2021-05-15T12:42:43Z
dc.date.available2021-05-15T12:42:43Z
dc.date.issued2018
dc.departmentİşletme Fakültesi, Uluslararası Lojistik Yönetimi Bölümüen_US
dc.description55th Meeting of EURO-Working-Group on Commodities and Financial Modelling (EWGCFM) -- MAY 14-16, 2015 -- METU, Ankara, TURKEY
dc.descriptionSak, Halis/0000-0001-9205-0619
dc.description.abstractWe 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.en_US
dc.description.sponsorshipEURO Working Grp Commodities & Financial Modelling, Middle E Tech Univ, Inst Appl Math, Assoc European Operat Res Socen_US
dc.description.sponsorshipScientific and Technological Research Council of Turkey (TUBITAK)Turkiye Bilimsel ve Teknolojik Arastirma Kurumu (TUBITAK) [111M108]; Xi'an Jiaotong-Liverpool University Research Fund [RDF-14-01-33]; Bogazici Scientific Research Fund [6923]en_US
dc.description.sponsorshipThis work was supported by The Scientific and Technological Research Council of Turkey (TUBITAK) Research Fund Project 111M108 and Xi'an Jiaotong-Liverpool University Research Fund Project RDF-14-01-33, and partially supported by Bogazici Scientific Research Fund Project 6923.en_US
dc.identifier.doi10.1007/s10479-016-2241-1
dc.identifier.endpage128en_US
dc.identifier.issn0254-5330
dc.identifier.issn1572-9338
dc.identifier.issue1-2en_US
dc.identifier.scopus2-s2.0-85039995899
dc.identifier.scopusqualityQ1
dc.identifier.startpage113en_US
dc.identifier.urihttps://doi.org/10.1007/s10479-016-2241-1
dc.identifier.urihttps://hdl.handle.net/20.500.12939/968
dc.identifier.volume260en_US
dc.identifier.wosWOS:000419148700007
dc.identifier.wosqualityQ1
dc.indekslendigikaynakWeb of Science
dc.indekslendigikaynakScopus
dc.institutionauthorBaşoğlu, İsmail
dc.language.isoen
dc.publisherSpringeren_US
dc.relation.ispartofAnnals of Operations Research
dc.relation.publicationcategoryKonferans Öğesi - Uluslararası - Kurum Öğretim Elemanıen_US
dc.rightsinfo:eu-repo/semantics/openAccessen_US
dc.subjectCredit Risken_US
dc.subjectBernoulli Mixture Modelen_US
dc.subjectCopula Modelsen_US
dc.subjectGeometric Shortcuten_US
dc.subjectCross-Entropy Methoden_US
dc.subjectStratificationen_US
dc.titleEfficient simulations for a bernoulli mixture model of portfolio credit risk
dc.typeConference Object

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