Search Results - subject:"Large deviation probabilities"

Importance sampling in the presence of PD-LGD correlation

Metzler, Adam; Scott, Alexandre - In: Risks 8 (2020) 1, pp. 1-36

importance sampling to estimate large deviation probabilities in those models. Numerical evidence indicates that the proposed … deviation probabilities for the loss on a portfolio of loans. Related literature typically assumes that realised losses on … deviation probabilities across a wide variety of PD-LGD correlation models that have been proposed in the literature. …

Persistent link: https://www.econbiz.de/10013200560

Importance sampling in the presence of PD-LGD correlation

Metzler, Adam; Scott, Alexandre - In: Risks : open access journal 8 (2020) 1/25, pp. 1-36

Persistent link: https://www.econbiz.de/10012203783

Multi-period conditional distribution functions for heteroscedastic models with applications to VaR.

Brummelhuis, Raymond; Guegan, Dominique - HAL - 2005

For a GARCH(1,1) process, we study the large deviation asymptotics at the horizon k and their consequences for extreme quantile estimation. The results are relevant for the estimation of multi-period Value at Risk and prove that the heuristic “square k” rule used in financial risk management...

Persistent link: https://www.econbiz.de/10008792107

A Kolmogorov inequality for the sum of independent Bernoulli random variables with unequal means

Turner, Danny W.; Young, Dean M.; Seaman, John W. - In: Statistics & Probability Letters 23 (1995) 3, pp. 243-245

This note presents a Kolmogorov inequality for the partial sums of a sequence of independent Bernoulli random variables with unequal means.

Persistent link: https://www.econbiz.de/10005313832