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Efficient estimation of large portfolio loss probabilities in t-copula models · Study

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ArticleEfficient estimation of large portfolio loss probabilities in t-copula models

Joshua C. C. Chan2010

Article2010

Efficient estimation of large portfolio loss probabilities in t-copula models

Joshua C. C. Chan · Dirk P. Kroese

79 citations·0/0 files stored·European Journal of Operational Research

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Financial Risk and Volatility Modeling Stochastic processes and financial applications Risk and Portfolio Optimization

Abstract

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Citations in this library

Stored only when both papers are in the corpus — 79 citations exist upstream.

References

2003Monte Carlo Methods in Financial Engineering 2007Simulation and the Monte Carlo Method 2005Quantitative Risk Management: Concepts, Techniques, and Tools 2006Quantitative Risk Management: Concepts, Techniques, and Tools 2000On Default Correlation 2007Stochastic Simulation 2000Nonlinear Time Series Models in Empirical Finance 2005Importance Sampling for Portfolio Credit Risk

Cited by

2013Robust portfolio optimization with copulas 2011An Improved Estimation to Make Markowitz's Portfolio Optimization Theory Users Friendly and Estimation Accurate with Application on the US Stock Market Investment 2017A Compendium of Copulas 2017Copula based multivariate semi-Markov models with applications in high-frequency finance 2023Multicanonical sequential Monte Carlo sampler for uncertainty quantification

Details

Year2010

Typearticle

Published2010-01-12

VenueEuropean Journal of Operational Research

ISSN-L0377-2217

Languageen

Citations79

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

Identifiers

doi10.1016/j.ejor.2010.01.003

openalex_workW1993676953

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