{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2026,7,17]],"date-time":"2026-07-17T03:15:44Z","timestamp":1784258144503,"version":"3.55.0"},"reference-count":19,"publisher":"Springer Science and Business Media LLC","issue":"1-2","license":[{"start":{"date-parts":[[2016,6,3]],"date-time":"2016-06-03T00:00:00Z","timestamp":1464912000000},"content-version":"unspecified","delay-in-days":0,"URL":"http:\/\/www.springer.com\/tdm"}],"funder":[{"DOI":"10.13039\/501100004410","name":"T\u00fcrkiye Bilimsel ve Teknolojik Arastirma Kurumu (TR)","doi-asserted-by":"publisher","award":["111M108"],"award-info":[{"award-number":["111M108"]}],"id":[{"id":"10.13039\/501100004410","id-type":"DOI","asserted-by":"publisher"}]},{"DOI":"10.13039\/501100005037","name":"Bogazi\u00e7i \u00dcniversitesi (TR)","doi-asserted-by":"publisher","award":["6923"],"award-info":[{"award-number":["6923"]}],"id":[{"id":"10.13039\/501100005037","id-type":"DOI","asserted-by":"publisher"}]}],"content-domain":{"domain":["link.springer.com"],"crossmark-restriction":false},"short-container-title":["Ann Oper Res"],"published-print":{"date-parts":[[2018,1]]},"DOI":"10.1007\/s10479-016-2241-1","type":"journal-article","created":{"date-parts":[[2016,6,3]],"date-time":"2016-06-03T01:52:01Z","timestamp":1464918721000},"page":"113-128","update-policy":"https:\/\/doi.org\/10.1007\/springer_crossmark_policy","source":"Crossref","is-referenced-by-count":8,"title":["Efficient simulations for a Bernoulli mixture model of portfolio credit risk"],"prefix":"10.1007","volume":"260","author":[{"given":"\u0130smail","family":"Ba\u015fo\u011flu","sequence":"first","affiliation":[],"role":[{"vocabulary":"crossref","role":"author"}]},{"given":"Wolfgang","family":"H\u00f6rmann","sequence":"additional","affiliation":[],"role":[{"vocabulary":"crossref","role":"author"}]},{"given":"Halis","family":"Sak","sequence":"additional","affiliation":[],"role":[{"vocabulary":"crossref","role":"author"}]}],"member":"297","published-online":{"date-parts":[[2016,6,3]]},"reference":[{"key":"2241_CR1","unstructured":"Ba\u015fo\u011flu, \u0130., & H\u00f6rmann, W. (2014). Efficient stratified sampling implementations in multiresponse simulation. In A. Tolk, S. Y. Diallo, I. O. Ryzhov, L. Yilmaz, S. Buckley, & J. A. Miller (Eds.), Proceedings of the 2014 winter simulation conference (pp. 757\u2013768)."},{"issue":"11","key":"2241_CR2","doi-asserted-by":"crossref","first-page":"1451","DOI":"10.1080\/02331934.2013.852547","volume":"62","author":"\u0130 Ba\u015fo\u011flu","year":"2013","unstructured":"Ba\u015fo\u011flu, \u0130., H\u00f6rmann, W., & Sak, H. (2013). Optimally stratified importance sampling for portfolio risk with multiple loss thresholds. Optimization, 62(11), 1451\u20131471.","journal-title":"Optimization"},{"issue":"3","key":"2241_CR3","doi-asserted-by":"crossref","first-page":"593","DOI":"10.1287\/opre.1080.0513","volume":"56","author":"A Bassamboo","year":"2008","unstructured":"Bassamboo, A., Juneja, S., & Zeevi, A. (2008). Portfolio credit risk with extremal dependence: Asymptotic analysis and efficient simulation. Operations Research, 56(3), 593\u2013606.","journal-title":"Operations Research"},{"issue":"2","key":"2241_CR4","doi-asserted-by":"crossref","first-page":"361","DOI":"10.1016\/j.ejor.2010.01.003","volume":"205","author":"JCC Chan","year":"2010","unstructured":"Chan, J. C. C., & Kroese, D. P. (2010). Efficient estimation of large portfolio loss probabilities in t-copula models. European Journal of Operational Research, 205(2), 361\u2013367.","journal-title":"European Journal of Operational Research"},{"key":"2241_CR5","unstructured":"Credit Suisse Financial Products. (1997). CreditRisk+: A CreditRisk management framework. London: Credit Suisse Financial Products."},{"key":"2241_CR6","doi-asserted-by":"crossref","DOI":"10.1007\/978-1-4757-2553-7","volume-title":"Monte Carlo: Concepts, algorithms, and applications","author":"GS Fishman","year":"1996","unstructured":"Fishman, G. S. (1996). Monte Carlo: Concepts, algorithms, and applications. New York: Springer."},{"key":"2241_CR7","doi-asserted-by":"crossref","first-page":"1317","DOI":"10.1016\/S0378-4266(02)00265-0","volume":"26","author":"R Frey","year":"2002","unstructured":"Frey, R., & McNeil, A. J. (2002). VaR and expected shortfall in portfolios of dependent credit risks: Conceptual and practical insights. Journal of Banking & Finance, 26, 1317\u20131334.","journal-title":"Journal of Banking & Finance"},{"key":"2241_CR8","doi-asserted-by":"crossref","first-page":"1317","DOI":"10.2307\/1913710","volume":"57\u20136","author":"J Geweke","year":"1989","unstructured":"Geweke, J. (1989). Bayesian inference in econometric models using Monte Carlo integration. Econometrica, 57\u20136, 1317\u20131339.","journal-title":"Econometrica"},{"key":"2241_CR9","volume-title":"Monte Carlo methods in financial engineering","author":"P Glasserman","year":"2004","unstructured":"Glasserman, P. (2004). Monte Carlo methods in financial engineering. New York: Springer."},{"issue":"2","key":"2241_CR10","doi-asserted-by":"crossref","first-page":"1","DOI":"10.21314\/JCF.2005.160","volume":"9","author":"P Glasserman","year":"2005","unstructured":"Glasserman, P. (2005). Measuring marginal risk contributions in credit portfolios. Journal of Computational Finance, 9(2), 1\u201341.","journal-title":"Journal of Computational Finance"},{"key":"2241_CR11","doi-asserted-by":"crossref","unstructured":"Glasserman, P., & Li, J. (2003). Importance sampling for a mixed Poisson model of portfolio credit risk. In S. Chick, P. J. S\u00e1nchez, D. Ferrin, & D. J. Morrice (Eds.), Proceedings of the 2003 winter simulation conference (pp. 267\u2013275).","DOI":"10.1109\/WSC.2003.1261433"},{"issue":"11","key":"2241_CR12","doi-asserted-by":"crossref","first-page":"1643","DOI":"10.1287\/mnsc.1050.0415","volume":"51","author":"P Glasserman","year":"2005","unstructured":"Glasserman, P., & Li, J. (2005). Importance sampling for portfolio credit risk. Management Science, 51(11), 1643\u20131656.","journal-title":"Management Science"},{"key":"2241_CR13","volume-title":"Creditmetrics technical document","author":"GM Gupton","year":"1997","unstructured":"Gupton, G. M., Finger, C. C., & Bhatia, M. (1997). Creditmetrics technical document. New York: J.P. Morgan & Co."},{"key":"2241_CR14","unstructured":"Kang, W., & Shahabuddin, P. (2005). Fast simulation for multifactor portfolio credit risk in the t-copula model. In M. E. Kuhl, N. M. Steiger, F. B. Armstrong, & J. A. Joines (Eds.), Proceedings of the 37th conference on winter simulation (pp. 1859\u20131868)."},{"key":"2241_CR15","volume-title":"Quantitative risk management","author":"AJ McNeil","year":"2005","unstructured":"McNeil, A. J., Frey, R., & Embrechts, P. (2005). Quantitative risk management. New Jersey: Princeton University Press."},{"key":"2241_CR16","unstructured":"Rubinstein, R. Y., & Kroese, D. P. (2008). Simulation and the Monte Carlo method. New Jersey: Wiley."},{"key":"2241_CR17","first-page":"361","volume":"16","author":"H Sak","year":"2010","unstructured":"Sak, H. (2010). Increasing the number of inner replications of multifactor portfolio credit risk simulation in the t-copula model. Monte Carlo Methods and Applications, 16, 361\u2013377.","journal-title":"Monte Carlo Methods and Applications"},{"issue":"10","key":"2241_CR18","doi-asserted-by":"crossref","first-page":"1557","DOI":"10.1080\/14697688.2011.564199","volume":"12","author":"H Sak","year":"2012","unstructured":"Sak, H., & H\u00f6rmann, W. (2012). Fast simulations in credit risk. Quantitative Finance, 12(10), 1557\u20131569.","journal-title":"Quantitative Finance"},{"key":"2241_CR19","doi-asserted-by":"crossref","first-page":"802","DOI":"10.1016\/j.ejor.2009.06.025","volume":"202","author":"H Sak","year":"2010","unstructured":"Sak, H., H\u00f6rmann, W., & Leydold, J. (2010). Efficient risk simulations for linear asset portfolios in the t-copula model. European Journal of Operational Research, 202, 802\u2013809.","journal-title":"European Journal of Operational Research"}],"container-title":["Annals of Operations Research"],"original-title":[],"language":"en","link":[{"URL":"http:\/\/link.springer.com\/article\/10.1007\/s10479-016-2241-1\/fulltext.html","content-type":"text\/html","content-version":"vor","intended-application":"text-mining"},{"URL":"http:\/\/link.springer.com\/content\/pdf\/10.1007\/s10479-016-2241-1.pdf","content-type":"application\/pdf","content-version":"vor","intended-application":"text-mining"},{"URL":"http:\/\/link.springer.com\/content\/pdf\/10.1007\/s10479-016-2241-1","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"},{"URL":"http:\/\/link.springer.com\/content\/pdf\/10.1007\/s10479-016-2241-1.pdf","content-type":"application\/pdf","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2018,1,2]],"date-time":"2018-01-02T17:04:37Z","timestamp":1514912677000},"score":1,"resource":{"primary":{"URL":"http:\/\/link.springer.com\/10.1007\/s10479-016-2241-1"}},"subtitle":[],"short-title":[],"issued":{"date-parts":[[2016,6,3]]},"references-count":19,"journal-issue":{"issue":"1-2","published-print":{"date-parts":[[2018,1]]}},"alternative-id":["2241"],"URL":"https:\/\/doi.org\/10.1007\/s10479-016-2241-1","relation":{},"ISSN":["0254-5330","1572-9338"],"issn-type":[{"value":"0254-5330","type":"print"},{"value":"1572-9338","type":"electronic"}],"subject":[],"published":{"date-parts":[[2016,6,3]]}}}