Metamodel of a Large Credit Risk Portfolio in the Gaussian Copula Model | Zendy

Florian Bourgey | Zendy; Emmanuel Gobet | Zendy; Clément Rey | Zendy

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Metamodel of a Large Credit Risk Portfolio in the Gaussian Copula Model

Author(s) -

Florian Bourgey,

Emmanuel Gobet,

Clément Rey

Publication year - 2020

Publication title -

siam journal on financial mathematics

Language(s) - English

Resource type - Journals

SCImago Journal Rank - 1.251

H-Index - 33

ISSN - 1945-497X

DOI - 10.1137/19m1292084

Subject(s) - copula (linguistics) , gaussian , portfolio , mathematics , metamodeling , econometrics , importance sampling , credit risk , mathematical optimization , computer science , statistics , economics , actuarial science , financial economics , physics , monte carlo method , quantum mechanics , programming language

We design a meta-model for the loss distribution of a large credit portfolio in the Gaussian copula model. Using both the Wiener chaos expansion on the systemic economic factor and a Gaussian approximation on the associated truncated loss, we significantly reduce the computational time needed for sampling the loss and therefore estimating risk measures on the loss distribution. The accuracy of our method is confirmed by many numerical examples.

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