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Importance Sampling: A Variance Reduction Method for Credit Risk Models
Statistical Models for Data Analysis - Studies in Classification, Data Analysis, and Knowledge Organization
◽
10.1007/978-3-319-00032-9_38
◽
2013
◽
pp. 333-342
Author(s):
Gabriella Schoier
◽
Federico Marsich
Keyword(s):
Credit Risk
◽
Importance Sampling
◽
Variance Reduction
◽
Reduction Method
◽
Risk Models
Download Full-text
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An Empirical Study of Structural Credit Risk Models Using Stock and Bond Prices
CFA Digest
◽
10.2469/dig.v34.n4.1562
◽
2004
◽
Vol 34
(4)
◽
pp. 32-33
Author(s):
Lorne Jeremy Zeiler
Keyword(s):
Empirical Study
◽
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Breaking correlation breakdowns: non-parametric estimation of downturn correlations and their application in credit risk models
The Journal of Risk Model Validation
◽
10.21314/jrmv.2008.031
◽
2008
◽
Vol 2
(4)
◽
pp. 13-26
Author(s):
Oleg Burd
Keyword(s):
Credit Risk
◽
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◽
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◽
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◽
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Recalibrating credit risk models – a theoretical perspective with practical implications
The Journal of Risk Model Validation
◽
10.21314/jrmv.2008.025
◽
2008
◽
Vol 2
(3)
◽
pp. 3-10
Author(s):
Lawrence Antioch
Keyword(s):
Credit Risk
◽
Theoretical Perspective
◽
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◽
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The application of credit risk models to macroeconomic scenario analysis and stress testing
The Journal of Credit Risk
◽
10.21314/jcr.2016.208
◽
2016
◽
Vol 12
(2)
◽
pp. 1-45
◽
Cited By ~ 10
Author(s):
Jimmy Skoglund
◽
Wei Chen
Keyword(s):
Credit Risk
◽
Scenario Analysis
◽
Stress Testing
◽
Risk Models
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Selection versus averaging of logistic credit risk models
The Journal of Risk
◽
10.21314/jor.2014.285
◽
2014
◽
Vol 16
(5)
◽
pp. 39-52
◽
Cited By ~ 3
Author(s):
Evelyn Hayden
◽
Alex Stomper
◽
Arne Westerkamp
Keyword(s):
Credit Risk
◽
Risk Models
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Evaluating credit risk models using loss density forecasts
The Journal of Risk
◽
10.21314/jor.2003.085
◽
2003
◽
Vol 5
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◽
pp. 1-23
◽
Cited By ~ 6
Keyword(s):
Credit Risk
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Risk Models
◽
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A Note on Fitting Markov Operator Credit Risk Models
SSRN Electronic Journal
◽
10.2139/ssrn.1148584
◽
2008
◽
Author(s):
Harley Thompson
◽
Jonathan Harris
Keyword(s):
Credit Risk
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Markov Operator
◽
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Survey of Credit Risk Models in Relation to Capital Adequacy Framework for Financial Institutions
SSRN Electronic Journal
◽
10.2139/ssrn.1625254
◽
2006
◽
Cited By ~ 1
Author(s):
Poomjai Nacaskul
Keyword(s):
Credit Risk
◽
Financial Institutions
◽
Capital Adequacy
◽
Risk Models
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Selection vs. Averaging of Logistic Credit Risk Models
SSRN Electronic Journal
◽
10.2139/ssrn.1724124
◽
2010
◽
Cited By ~ 1
Author(s):
Evelyn Hayden
◽
Alex Stomper
◽
Arne Westerkamp
Keyword(s):
Credit Risk
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The Application of Credit Risk Models to Macroeconomic Regulatory Stress Testing
SSRN Electronic Journal
◽
10.2139/ssrn.2605862
◽
2015
◽
Author(s):
Jimmy Skoglund
◽
Wei Chen
Keyword(s):
Credit Risk
◽
Stress Testing
◽
Risk Models
Download Full-text
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