Importance Sampling for Credit Portfolio Risk with Risk Factors Having t-Copula.
Rongda ChenZe WangLean YuPublished in: Int. J. Inf. Technol. Decis. Mak. (2017)
Keyphrases
- risk factors
- importance sampling
- risk analysis
- monte carlo
- risk assessment
- high risk
- risk management
- kalman filter
- markov chain
- particle filter
- particle filtering
- decision making
- statistical methods
- approximate inference
- markov chain monte carlo
- visual tracking
- machine learning
- information security
- mean shift
- genetic algorithm