论文部分内容阅读
We consider the problem of calculating tail loss probability and conditional excess for the Bernoulli mixture model of credit risk.This is an important problem as all credit risk models proposed in literature can be represented as Bernoulli mixture models.The algorithm we propose is a combination of stratification,importance sampling based on cross-entropy,and inner replications using the geometric shortcut method.We evaluate the efficiency of our general method on specific credit risk models.