Importance Sampling for Estimating High Dimensional Joint Default Probabilities
碩士 === 國立臺灣大學 === 應用數學科學研究所 === 105 === We discuss the simulation method for estimating the probabilities of rare events, especially the “joint default” probabilities under different models. The methods we provide are based on importance sampling, which is a variance re- duction technique used to in...
| Main Authors: | , |
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| Other Authors: | |
| Format: | Others |
| Language: | zh-TW |
| Published: |
2017
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| Online Access: | http://ndltd.ncl.edu.tw/handle/hfqq5e |