Metzler, Adam; Scott, Alexandre - In: Risks : open access journal 8 (2020) 1/25, pp. 1-36
importance sampling to estimate large deviation probabilities in those models. Numerical evidence indicates that the proposed …This paper seeks to identify computationally efficient importance sampling (IS) algorithms for estimating large … deviation probabilities for the loss on a portfolio of loans. Related literature typically assumes that realised losses on …
