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Utility-based shortfall risk : efficient computations via Monte Carlo
Hu, Zhaolin; Zhang, Dali - In: Naval research logistics : an international journal 65 (2018) 5, pp. 378-392
Persistent link: https://www.econbiz.de/10011969327
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Variance reduction for risk measures with importance sampling in nested simulation
Xing, Yue; Sit, Tony; Wong, Hoi Ying - In: Quantitative finance 22 (2022) 4, pp. 657-673
Persistent link: https://www.econbiz.de/10013367849
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Sequential importance sampling and resampling for dynamic portfolio credit risk
Deng, Shaojie; Giesecke, Kay; Lai, Tze Leung - In: Operations research 60 (2012) 1, pp. 78-91
Persistent link: https://www.econbiz.de/10009532668
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A general importance sampling algorithm for estimating portfolio loss probabilities in linear factor models
Scott, Alexandre; Metzler, Adam - In: Insurance / Mathematics & economics 64 (2015), pp. 279-293
Persistent link: https://www.econbiz.de/10011398073
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Sequential Importance Sampling and Resampling for Dynamic Portfolio Credit Risk
Deng, Shaojie - 2011
sampling scheme …
Persistent link: https://www.econbiz.de/10013132957
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Importance sampling in stochastic optimization : an application to intertemporal portfolio choice
Ekblom, J.; Blomvall, J. - In: European journal of operational research : EJOR 285 (2020) 1, pp. 106-119
Persistent link: https://www.econbiz.de/10012239487
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Measuring the diversification of a loan portfolio
Tourin, Agnès - In: International journal of bonds and derivatives 4 (2020) 2, pp. 104-113
Persistent link: https://www.econbiz.de/10012505156
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Importance sampling for calculating the Value-at-Risk and expected shortfall of the quadratic portfolio with t-distributed risk factors
Teng, Huei-Wen - In: Computational economics 62 (2023) 3, pp. 1125-1154
Persistent link: https://www.econbiz.de/10014382887
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Application of duration measure in quantifying the sensitivity of project returns to changes in discount rates
Yousefi, Vahidreza; Yakhchali, Siamak Haji; … - In: Administrative Sciences : open access journal 9 (2019) 1/13, pp. 1-14
In this research, the concept of Duration with a new application in project management has been defined. The Duration of each project provides the project manager with a combined measure containing concepts of return, cost and time of the project. Further in this article, the changes in project...
Persistent link: https://www.econbiz.de/10012126909
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Mixed data sampling expectile regression with applications to measuring financial risk
Xu, Qifa; Chen, Lu; Jiang, Cuixia; Yu, Keming - In: Economic modelling 91 (2020), pp. 469-486
Persistent link: https://www.econbiz.de/10012429122