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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

Latin hypercube sampling with dependence and applications in finance

Packham, Natalie; Schmidt, Wolfgang M. - 2008

In Monte Carlo simulation, Latin hypercube sampling (LHS) [McKay et al. (1979)] is a well-known variance reduction … technique for vectors of independent random variables. The method presented here, Latin hypercube sampling with dependence (LHSD …

Persistent link: https://www.econbiz.de/10011293923

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

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