{"id":"https://openalex.org/W2099790668","doi":"https://doi.org/10.1109/wsc.2003.1261433","title":"Importance sampling for a mixed Poisson model of portfolio credit risk","display_name":"Importance sampling for a mixed Poisson model of portfolio credit risk","publication_year":2004,"publication_date":"2004-05-13","ids":{"openalex":"https://openalex.org/W2099790668","doi":"https://doi.org/10.1109/wsc.2003.1261433","mag":"2099790668"},"language":"en","primary_location":{"id":"doi:10.1109/wsc.2003.1261433","is_oa":false,"landing_page_url":"https://doi.org/10.1109/wsc.2003.1261433","pdf_url":null,"source":null,"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Proceedings of the 2003 International Conference on Machine Learning and Cybernetics (IEEE Cat. No.03EX693)","raw_type":"proceedings-article"},"type":"article","indexed_in":["crossref"],"open_access":{"is_oa":false,"oa_status":"closed","oa_url":null,"any_repository_has_fulltext":false},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5026619574","display_name":"Paul Glasserman","orcid":"https://orcid.org/0000-0002-9577-0205"},"institutions":[{"id":"https://openalex.org/I78577930","display_name":"Columbia University","ror":"https://ror.org/00hj8s172","country_code":"US","type":"education","lineage":["https://openalex.org/I78577930"]}],"countries":["US"],"is_corresponding":true,"raw_author_name":"P. Glasserman","raw_affiliation_strings":["Columbia Bus. Sch., Columbia Univ., New York, NY, USA"],"affiliations":[{"raw_affiliation_string":"Columbia Bus. Sch., Columbia Univ., New York, NY, USA","institution_ids":["https://openalex.org/I78577930"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5100399434","display_name":"Jingyi Li","orcid":"https://orcid.org/0000-0002-3315-1855"},"institutions":[{"id":"https://openalex.org/I78577930","display_name":"Columbia University","ror":"https://ror.org/00hj8s172","country_code":"US","type":"education","lineage":["https://openalex.org/I78577930"]}],"countries":["US"],"is_corresponding":false,"raw_author_name":"Jingyi Li","raw_affiliation_strings":["Columbia Business School, Columbia University, New York, NY, USA","Columbia Bus. Sch., Columbia Univ., New York, NY, USA"],"affiliations":[{"raw_affiliation_string":"Columbia Business School, Columbia University, New York, NY, USA","institution_ids":["https://openalex.org/I78577930"]},{"raw_affiliation_string":"Columbia Bus. Sch., Columbia Univ., New York, NY, USA","institution_ids":["https://openalex.org/I78577930"]}]}],"institutions":[],"countries_distinct_count":1,"institutions_distinct_count":2,"corresponding_author_ids":["https://openalex.org/A5026619574"],"corresponding_institution_ids":["https://openalex.org/I78577930"],"apc_list":null,"apc_paid":null,"fwci":1.6002,"has_fulltext":false,"cited_by_count":23,"citation_normalized_percentile":{"value":0.86672717,"is_in_top_1_percent":false,"is_in_top_10_percent":false},"cited_by_percentile_year":{"min":89,"max":98},"biblio":{"volume":null,"issue":null,"first_page":"267","last_page":"275"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T11496","display_name":"Credit Risk and Financial Regulations","score":0.9994000196456909,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T11496","display_name":"Credit Risk and Financial Regulations","score":0.9994000196456909,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T11720","display_name":"Probability and Risk Models","score":0.9988999962806702,"subfield":{"id":"https://openalex.org/subfields/1803","display_name":"Management Science and Operations Research"},"field":{"id":"https://openalex.org/fields/18","display_name":"Decision Sciences"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T10067","display_name":"Stochastic processes and financial applications","score":0.9807000160217285,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/portfolio","display_name":"Portfolio","score":0.7816917896270752},{"id":"https://openalex.org/keywords/estimator","display_name":"Estimator","score":0.74364173412323},{"id":"https://openalex.org/keywords/poisson-distribution","display_name":"Poisson distribution","score":0.6697829961776733},{"id":"https://openalex.org/keywords/default","display_name":"Default","score":0.6247347593307495},{"id":"https://openalex.org/keywords/computer-science","display_name":"Computer science","score":0.5569194555282593},{"id":"https://openalex.org/keywords/econometrics","display_name":"Econometrics","score":0.5563727617263794},{"id":"https://openalex.org/keywords/rare-events","display_name":"Rare events","score":0.5368931889533997},{"id":"https://openalex.org/keywords/sampling","display_name":"Sampling (signal processing)","score":0.5336334109306335},{"id":"https://openalex.org/keywords/credit-risk","display_name":"Credit risk","score":0.4969046413898468},{"id":"https://openalex.org/keywords/importance-sampling","display_name":"Importance sampling","score":0.45303356647491455},{"id":"https://openalex.org/keywords/actuarial-science","display_name":"Actuarial science","score":0.3510027527809143},{"id":"https://openalex.org/keywords/economics","display_name":"Economics","score":0.2685825228691101},{"id":"https://openalex.org/keywords/finance","display_name":"Finance","score":0.21611124277114868},{"id":"https://openalex.org/keywords/mathematics","display_name":"Mathematics","score":0.2102949023246765},{"id":"https://openalex.org/keywords/statistics","display_name":"Statistics","score":0.18595772981643677},{"id":"https://openalex.org/keywords/monte-carlo-method","display_name":"Monte Carlo method","score":0.11683434247970581}],"concepts":[{"id":"https://openalex.org/C2780821815","wikidata":"https://www.wikidata.org/wiki/Q5340806","display_name":"Portfolio","level":2,"score":0.7816917896270752},{"id":"https://openalex.org/C185429906","wikidata":"https://www.wikidata.org/wiki/Q1130160","display_name":"Estimator","level":2,"score":0.74364173412323},{"id":"https://openalex.org/C100906024","wikidata":"https://www.wikidata.org/wiki/Q205692","display_name":"Poisson distribution","level":2,"score":0.6697829961776733},{"id":"https://openalex.org/C69637215","wikidata":"https://www.wikidata.org/wiki/Q702362","display_name":"Default","level":2,"score":0.6247347593307495},{"id":"https://openalex.org/C41008148","wikidata":"https://www.wikidata.org/wiki/Q21198","display_name":"Computer science","level":0,"score":0.5569194555282593},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.5563727617263794},{"id":"https://openalex.org/C2777317252","wikidata":"https://www.wikidata.org/wiki/Q18393516","display_name":"Rare events","level":2,"score":0.5368931889533997},{"id":"https://openalex.org/C140779682","wikidata":"https://www.wikidata.org/wiki/Q210868","display_name":"Sampling (signal processing)","level":3,"score":0.5336334109306335},{"id":"https://openalex.org/C178350159","wikidata":"https://www.wikidata.org/wiki/Q162714","display_name":"Credit risk","level":2,"score":0.4969046413898468},{"id":"https://openalex.org/C52740198","wikidata":"https://www.wikidata.org/wiki/Q1539564","display_name":"Importance sampling","level":3,"score":0.45303356647491455},{"id":"https://openalex.org/C162118730","wikidata":"https://www.wikidata.org/wiki/Q1128453","display_name":"Actuarial science","level":1,"score":0.3510027527809143},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.2685825228691101},{"id":"https://openalex.org/C10138342","wikidata":"https://www.wikidata.org/wiki/Q43015","display_name":"Finance","level":1,"score":0.21611124277114868},{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.2102949023246765},{"id":"https://openalex.org/C105795698","wikidata":"https://www.wikidata.org/wiki/Q12483","display_name":"Statistics","level":1,"score":0.18595772981643677},{"id":"https://openalex.org/C19499675","wikidata":"https://www.wikidata.org/wiki/Q232207","display_name":"Monte Carlo method","level":2,"score":0.11683434247970581},{"id":"https://openalex.org/C106131492","wikidata":"https://www.wikidata.org/wiki/Q3072260","display_name":"Filter (signal processing)","level":2,"score":0.0},{"id":"https://openalex.org/C31972630","wikidata":"https://www.wikidata.org/wiki/Q844240","display_name":"Computer vision","level":1,"score":0.0}],"mesh":[],"locations_count":1,"locations":[{"id":"doi:10.1109/wsc.2003.1261433","is_oa":false,"landing_page_url":"https://doi.org/10.1109/wsc.2003.1261433","pdf_url":null,"source":null,"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Proceedings of the 2003 International Conference on Machine Learning and Cybernetics (IEEE Cat. No.03EX693)","raw_type":"proceedings-article"}],"best_oa_location":null,"sustainable_development_goals":[],"awards":[],"funders":[{"id":"https://openalex.org/F4320306076","display_name":"National Science Foundation","ror":"https://ror.org/021nxhr62"}],"has_content":{"grobid_xml":false,"pdf":false},"content_urls":null,"referenced_works_count":11,"referenced_works":["https://openalex.org/W2001990291","https://openalex.org/W2059120410","https://openalex.org/W2080328084","https://openalex.org/W2097511294","https://openalex.org/W2282382832","https://openalex.org/W2399991609","https://openalex.org/W2797111759","https://openalex.org/W4205752877","https://openalex.org/W4301258660","https://openalex.org/W6722970668","https://openalex.org/W6749992965"],"related_works":["https://openalex.org/W1964876911","https://openalex.org/W2789085814","https://openalex.org/W2999779709","https://openalex.org/W2160389399","https://openalex.org/W4376653316","https://openalex.org/W2116791275","https://openalex.org/W2246249754","https://openalex.org/W1499907193","https://openalex.org/W1580385316","https://openalex.org/W4390961257"],"abstract_inverted_index":{"Simulation":[0],"is":[1],"widely":[2],"used":[3],"to":[4,8,45],"estimate":[5],"losses":[6,30],"due":[7],"default":[9],"and":[10,31],"other":[11],"credit":[12,52],"events":[13],"in":[14,19,49,56],"financial":[15,58],"portfolios.":[16],"The":[17],"challenge":[18],"doing":[20],"this":[21,47],"efficiently":[22],"results":[23],"from":[24],"(i)":[25],"rare-event":[26],"aspects":[27],"of":[28,37,74],"large":[29],"(ii)":[32],"complex":[33],"dependence":[34],"between":[35],"defaults":[36],"multiple":[38],"obligors.":[39],"We":[40,68],"discuss":[41],"importance":[42],"sampling":[43],"techniques":[44],"address":[46],"problem":[48],"two":[50],"portfolio":[51,79],"risk":[53],"models":[54],"developed":[55],"the":[57,75,78],"industry,":[59],"with":[60],"particular":[61],"emphasis":[62],"on":[63],"a":[64],"mixed":[65],"Poisson":[66],"model.":[67],"give":[69],"conditions":[70],"for":[71],"asymptotic":[72],"optimality":[73],"estimators":[76],"as":[77],"size":[80],"grows.":[81]},"counts_by_year":[{"year":2024,"cited_by_count":1},{"year":2016,"cited_by_count":2},{"year":2015,"cited_by_count":1},{"year":2014,"cited_by_count":4},{"year":2013,"cited_by_count":1},{"year":2012,"cited_by_count":1}],"updated_date":"2025-11-06T03:46:38.306776","created_date":"2025-10-10T00:00:00"}
