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Variance Reduction Techniques for Estimating Value-at-Risk

Glasserman, Paul; Heidelberger, Philip; Shahabuddin, Perwez - In: Management Science 46 (2000) 10, pp. 1349-1364

This paper describes, analyzes and evaluates an algorithm for estimating portfolio loss probabilities using Monte Carlo simulation.Obtaining accurate estimates of such loss probabilities is essential to calculating value-at-risk, which is a quantile of the loss distribution. The method employs a...

Persistent link: https://www.econbiz.de/10009209365

Collateralized networks

Ghamami, Samim; Glasserman, Paul; Young, H. Peyton - In: Management science : journal of the Institute for … 68 (2022) 3, pp. 2202-2225

Persistent link: https://www.econbiz.de/10013267965

Swing pricing for mutual funds : breaking the feedback loop between fire sales and fund redemptions

Capponi, Agostino; Glasserman, Paul; Weber, Marko - In: Management science : journal of the Institute for … 66 (2020) 8, pp. 3581-3602

Persistent link: https://www.econbiz.de/10012289181

Preface to the special issue on systemic risk : models and mechanisms

Cont, Rama; Duffie, Darrell; Glasserman, Paul; Rogers, … - In: Operations research 64 (2016) 5, pp. 1053-1055

Persistent link: https://www.econbiz.de/10011594632

Hidden illiquidity with multiple central counterparties

Glasserman, Paul; Moallemi, Ciamac C.; Yuan, Kai - In: Operations research 64 (2016) 5, pp. 1143-1158

Persistent link: https://www.econbiz.de/10011594669

Persistence and procyclicality in margin requirements

Glasserman, Paul; Wu, Qi - In: Management science : journal of the Institute for … 64 (2018) 12, pp. 5705-5724

Persistent link: https://www.econbiz.de/10011964578

Bounding wrong-way risk in CVA calculation

Glasserman, Paul; Yang, Linan - In: Mathematical finance : an international journal of … 28 (2018) 1, pp. 268-305

Persistent link: https://www.econbiz.de/10011969151

Contingent capital, tail risk, and debt-induced collapse

Chen, Nan; Glasserman, Paul; Nouri, Behzad; Pelger, Markus - In: The review of financial studies 30 (2017) 11, pp. 3921-3969

Persistent link: https://www.econbiz.de/10011755830

Estimating a covariance matrix for market risk management and the case of credit default swaps

Neuberg, Richard; Glasserman, Paul - In: Quantitative finance 19 (2019) 1, pp. 77-92

Persistent link: https://www.econbiz.de/10012194621

Buy rough, sell smooth

Glasserman, Paul; He, Pu - In: Quantitative finance 20 (2020) 3, pp. 363-378

Persistent link: https://www.econbiz.de/10012194871