Estimating Sensitivities of Portfolio Credit Risk Using Monte Carlo.
L. Jeff HongSandeep JunejaJun LuoPublished in: INFORMS J. Comput. (2014)
Keyphrases
- monte carlo
- credit risk
- credit risk evaluation
- evaluation method
- risk analysis
- importance sampling
- credit scoring
- monte carlo simulation
- commercial banks
- markov chain
- monte carlo tree search
- fraud detection
- financial data
- particle filter
- markovian decision
- conditional probabilities
- evaluation model
- sensitivity analysis
- variance reduction
- outlier detection
- logistic regression
- support vector machine
- decision trees