DC Field | Value | Language |
---|---|---|
dc.contributor.author | Kang, Wanmo | ko |
dc.contributor.author | Perwez Shahabuddin | ko |
dc.date.accessioned | 2013-03-18T18:21:36Z | - |
dc.date.available | 2013-03-18T18:21:36Z | - |
dc.date.created | 2012-02-06 | - |
dc.date.issued | 2005-12 | - |
dc.identifier.citation | The 2005 Winter Simulation Conference, pp.1859 - 1868 | - |
dc.identifier.uri | http://hdl.handle.net/10203/151163 | - |
dc.description.abstract | We present an importance sampling procedure for the estimation of multifactor portfolio credit risk for the t-copula model, i.e, the case where the risk factors have the multivariate t distribution. We use a version of the multivariate t that can be expressed as a ratio of a multivariate normal and a scaled chi-square random variable. The procedure consists of two steps. First, using the large deviations result for the Gaussian model in Glasserman, Kang, and Shahabuddin (2005a), we devise and apply a change of measure to the chi-square random variable. Then, conditional on the chi-square random variable, we apply the importance sampling procedure developed for the Gaussian copula model in Glasserman, Kang, Shahabuddin (2005b). We support our importance sampling procedure by numerical examples. | - |
dc.language | English | - |
dc.publisher | Winter Simulation Conference | - |
dc.title | Fast Simulation of Multifactor Portfolio Credit Risk in the t-Copula Model | - |
dc.type | Conference | - |
dc.type.rims | CONF | - |
dc.citation.beginningpage | 1859 | - |
dc.citation.endingpage | 1868 | - |
dc.citation.publicationname | The 2005 Winter Simulation Conference | - |
dc.identifier.conferencecountry | US | - |
dc.identifier.conferencelocation | Hilton Orlando Lake Buena Vista, FL | - |
dc.contributor.localauthor | Kang, Wanmo | - |
dc.contributor.nonIdAuthor | Perwez Shahabuddin | - |
Items in DSpace are protected by copyright, with all rights reserved, unless otherwise indicated.