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A new variance reduction technique for estimating value-at-risk
Korn, Ralf; Pupashenko, Mykhailo - In: Applied mathematical finance 22 (2015) 1/2, pp. 83-98
Persistent link: https://www.econbiz.de/10010505164
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Importance sampling for option Greeks with discontinuous payoffs
Tong, Shaolong; Liu, Guangwu - In: INFORMS journal on computing : JOC 28 (2016) 2, pp. 223-235
Persistent link: https://www.econbiz.de/10011489268
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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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A real options perspective on R&D portfolio diversification
Bekkum, Sjoerd van; Pennings, Enrico; Smit, Han T. J. - 2008
This paper shows that the presence of conditional staging in R&D (Research & Development) has a critical impact on portfolio risk, and changes diversification arguments when a portfolio is constructed. When R&D projects exhibit option-like characteristics, correlation between projects plays a...
Persistent link: https://www.econbiz.de/10011373815
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Monte Carlo methods for economic capital
Li, Yajuan; Kaplan, Zachary T.; Nakayama, Marvin K. - In: INFORMS journal on computing : JOC ; charting new … 36 (2024) 1, pp. 266-284
Persistent link: https://www.econbiz.de/10014474920
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Pricing and Risk Management with Stochastic Volatility Using Importance Sampling
Stilger, Przemyslaw Stan - 2014
Abstract In this paper, we apply importance sampling to Heston's stochastic volatility model and Bates's stochastic … volatility model with jumps. We propose an effective numerical scheme that dramatically improves the speed of importance sampling … combining it with importance sampling leads to a significant variance reduction for the Greeks. All results are illustrated …
Persistent link: https://www.econbiz.de/10013065164
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Modeling fund and portfolio risk : a bi-modal approach to analyzing risk in turbulent markets
Karagiannidis, Iordanis; Wilford, D. S. - In: Review of financial economics : RFE 25 (2015), pp. 19-26
Persistent link: https://www.econbiz.de/10011498207
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Efficient willow tree method for variable annuities valuation and risk management
Dong, Bing; Xu, Wei; Šević, Aleksandar; Šević, Željko - In: International review of financial analysis 68 (2020), pp. 1-16
Persistent link: https://www.econbiz.de/10012301004
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Assessing asset-liability risk with neural networks
Cheridito, Patrick; Ery, John; Wüthrich, Mario V. - In: Risks : open access journal 8 (2020) 1/16, pp. 1-17
We introduce a neural network approach for assessing the risk of a portfolio of assets and liabilities over a given time period. This requires a conditional valuation of the portfolio given the state of the world at a later time, a problem that is particularly challenging if the portfolio...
Persistent link: https://www.econbiz.de/10012203982
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Portfolio credit risk model with extremal dependence of defaults and random recovery
Jeon, Jong-June; Kim, Sunggon; Lee, Yonghee - In: The journal of credit risk : published quarterly by … 13 (2017) 2, pp. 1-31
Persistent link: https://www.econbiz.de/10011777675