Problem
Research questions and friction points this paper is trying to address.
Importance Sampling
Portfolio Risk
Rare Losses
Credit-Portfolio
Importance Sampling Enhanced with the COS Method for the Portfolio Risk Allocation
🤖 AI Summary
本文提出ISCOS方法，结合重要性采样和COS方法来评估罕见信用组合损失的风险分配问题。
📝 Abstract
We introduce ISCOS, a cross-entropy importance-sampling calibration method for rare credit-portfolio losses. We derive Gaussian and Gaussian--inverse-Gamma proposals and analyse the propagation of finite-COS approximation errors to the fitted parameters. Numerical experiments for Gaussian and Student t-copula credit portfolios show the efficiency of this method.
Innovation
Methods, ideas, or system contributions that make the work stand out.
Importance Sampling
COS Method
Cross-Entropy Calibration
Rare Credit-Portfolio Losses
Gaussian and Gaussian-Inverse-Gamma Proposals
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