Derivatives and credit risk: enhanced quasi-monte carlo methods with dimension reduction.
Junichi ImaiKen Seng TanPublished in: WSC (2002)
Keyphrases
- dimension reduction
- monte carlo methods
- credit risk
- credit risk evaluation
- monte carlo
- evaluation method
- risk analysis
- feature extraction
- principal component analysis
- bayesian networks
- credit scoring
- high dimensional
- high dimensional data
- low dimensional
- feature selection
- singular value decomposition
- exchange rate
- simulated annealing
- feature space
- linear discriminant analysis
- fraud detection
- financial data
- cluster analysis
- high dimensionality
- unsupervised learning
- dimensionality reduction
- machine learning
- evaluation model
- logistic regression
- credit card
- monte carlo method
- neural network
- probabilistic model
- image processing
- evolutionary algorithm