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Combining a matheuristic with simulation for risk management of stochastic assets and liabilities
Bayliss, Christopher; Serra, Marti; Nieto, Armando; … - In: Risks : open access journal 8 (2020) 4/131, pp. 1-14
maximises the overall benefit over a time horizon. To solve this stochastic optimisation problem, a simulation …-Carlo simulation is employed to estimate the risk of failing to pay due liabilities. The simulation results allow us to set a safety …
Persistent link: https://www.econbiz.de/10012391566
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Computational finance
Stentoft, Lars - In: Journal of risk and financial management : JRFM 13 (2020) 7/145, pp. 1-4
The field of computational finance is evolving ever faster. This book collects a number of novel contributions on the use of computational methods and techniques for modelling financial asset prices, returns, and volatility, and on the use of numerical methods for pricing, hedging, and risk...
Persistent link: https://www.econbiz.de/10012309311
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Comparing risk measures when aggregating market risk and credit risk using different copulas
Maciag, Jakob; Hesse, Frederik; Boeve, Rolf; Pfingsten, … - In: Journal of risk 18 (2016) 5, pp. 101-136
Persistent link: https://www.econbiz.de/10011598393
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General Electric uses simulation and risk analysis for silicon carbide production system design
Biller, Bahar; Hartig, Michael; Olson, Ronald J.; … - In: INFORMS journal on applied analytics 49 (2019) 2, pp. 117-128
Persistent link: https://www.econbiz.de/10012024067
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Computational methods in financial engineering : essays in honour of Manfred Gilli
Kontoghiorghes, Erricos John (ed.); Gilli, Manfred (honouree) - 2008
Persistent link: https://www.econbiz.de/10003635732
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Value at risk models
Alexander, Carol - 2008
Persistent link: https://www.econbiz.de/10003758439
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Stresstests in Banken : von Basel II bis ICAAP
Klauck, Kai-Oliver (ed.); Stegmann, Claus (ed.) - 2006
Persistent link: https://www.econbiz.de/10003320458
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Scenario simulation model for fixed income portfolio risk management
Jamshidian, Farshid; Zhu, Yu - In: Advanced bond portfolio management : best practices in …, (pp. 291-310). 2006
Persistent link: https://www.econbiz.de/10003280872
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Risk budgeting, parameter uncertainty, and risk realizations
Gilkeson, James H.; Michelson, Stuart E. - In: The journal of investing 17 (2008) 1, pp. 47-54
Persistent link: https://www.econbiz.de/10003708669
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Minimizing the cost of risk with simulation optimization technique
Lei, Yu - In: Risk management and insurance review 14 (2011) 1, pp. 121-144
Persistent link: https://www.econbiz.de/10008987547