Alexandre Scott

University of Western Ontario

PhD student in Applied Mathematics

1151 Richmond Street

Suite 2

London, Ontario N6A 5B8

Canada

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Scholarly Papers (1)

1.

A General Importance Sampling Algorithm for Estimating Portfolio Loss Probabilities in Linear Factor Models

Number of pages: 23 Posted: 29 Jan 2015
Alexandre Scott and Adam Metzler
University of Western Ontario and Wilfrid Laurier University - Department of Mathematics
Downloads 114 (448,823)

Abstract:

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importance sampling, rare event simulation, Monte Carlo, Kullback- Leibler divergence, exponential tilts, normal copula, t copula, portfolio loss, condi- tional independence, cross-entropy method