OpenAlex ·
Importance Sampling Enhanced with the COS Method for the Portfolio Risk Allocation
- Published
- Source
- OpenAlex
- Published in
- arXiv (Cornell University)
- DOI
- 10.48550/arxiv.2608.30749
- Original
- Read it at the publisher
- Topics
Abstract
We introduce ISCOS, a cross-entropy importance-sampling calibration method for rare credit-portfolio losses. We derive Gaussian and Gaussian--inverse-Gamma proposals and analyse the propagation of finite-COS approximation errors to the fitted parameters. Numerical experiments for Gaussian and Student t-copula credit portfolios show the efficiency of this method.
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