Importance Sampling for Portfolio Credit Risk.
Paul GlassermanJingyi LiPublished in: Manag. Sci. (2005)
Keyphrases
- importance sampling
- credit risk
- credit risk evaluation
- monte carlo
- evaluation method
- credit scoring
- risk analysis
- markov chain
- kalman filter
- financial data
- fraud detection
- particle filtering
- decision making
- particle filter
- approximate inference
- markov chain monte carlo
- exchange rate
- credit card
- logistic regression
- evaluation model
- belief propagation
- evolutionary algorithm
- decision trees
- search space