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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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An evaluation and comparison of Value at Risk and Expected Shortfall
Burdorf, Tom; Van Vuuren, Gary - In: Investment management and financial innovations 15 (2018) 4, pp. 17-34
Persistent link: https://www.econbiz.de/10012055643
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Tail dependence in financial markets : a dynamic copula approach
Cortese, Federico Pasquale - In: Risks : open access journal 7 (2019) 4/116, pp. 1-14
This article is concerned with the study of the tail correlation among equity indices by means of dynamic copula functions. The main idea is to consider the impact of the use of copula functions in the accuracy of the model´s parameters and in the computation of Value-at-Risk (VaR). Results...
Persistent link: https://www.econbiz.de/10012127765
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Interacting particle systems for the computation of rare credit portfolio losses
Carmona, René; Fouque, Jean-Pierre; Vestal, Douglas - In: Finance and stochastics 13 (2009) 4, pp. 613-633
Persistent link: https://www.econbiz.de/10003899538
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Cross-hedging minimum return guarantees : basis and liquidity risks
Ankirchner, Stefan; Schneider, Judith Christiane; … - In: Journal of economic dynamics & control 41 (2014), pp. 93-109
Persistent link: https://www.econbiz.de/10010425003
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Bayesian backtesting for counterparty risk models
Zelvyte, Mante; Arnsdorf, Matthias - In: The journal of risk model validation 17 (2023) 2, pp. 1-27
Persistent link: https://www.econbiz.de/10014485763
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Choice of margin period of risk and netting for computing margins in central counterparty clearinghouses : a Monte Carlo investigation
Varma, Jayanth Rama; Virmani, Vineet - In: The journal of financial market infrastructures 10 (2021) 2, pp. 1-20
Persistent link: https://www.econbiz.de/10013530785
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Pricing catastrophe equity puts with counterparty risks under Markov-modulated, default-intensity processes
Chen, Jun-Home; Lian, Yu-Min; Liao, Szu-Lang - In: The North American journal of economics and finance : a … 61 (2022), pp. 1-17
Persistent link: https://www.econbiz.de/10013449359
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Commodity risk hedging through risk sharing : reengineering Islamic forwards
Kafou, Ali; Chakir, Ahmed - In: Journal of risk 17 (2014/2015) 6, pp. 101-123
Persistent link: https://www.econbiz.de/10011438937
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Variance-reduced risk inference in semi-supervised settings
Einmahl, John H. J.; Peng, Liang - 2024
Persistent link: https://www.econbiz.de/10015114538