3 papers
q-fin.CP2026
Importance Sampling Enhanced with the COS Method for the Portfolio Risk Allocation
Fang Fang, Xiaoyu Shen, Qinling Wang
We introduce ISCOS, a cross-entropy importance-sampling calibration method for rare credit-portfolio losses. We derive Gaussian and Gaussian--inverse-Gamma proposals and analyse th…
q-fin.CP2025
A Note on the Conditions for COS Convergence
Qinling Wang, Xiaoyu Shen, Fang Fang
We study the truncation error of the COS method and give simple, verifiable conditions that guarantee convergence. In one dimension, COS is admissible when the density belongs to b…
cs.LG2025
Enhancing ML Models Interpretability for Credit Scoring
Sagi Schwartz, Qinling Wang, Fang Fang
Predicting default is essential for banks to ensure profitability and financial stability. While modern machine learning methods often outperform traditional regression techniques,…