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Nested simulation in portfolio risk measurement
Gordy, Michael B.; Juneja, Sandeep - 2008
Risk measurement for derivative portfolios almost invariably calls for nested simulation. In the outer step one draws … be unacceptable, and adopt a variety of second-best pricing techniques to avoid the inner simulation. In this paper, we …
Persistent link: https://www.econbiz.de/10003830048
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Backtesting derivative portfolios with filtered historical simulation (FHS)
Barone-Adesi, Giovanni; Giannopoulos, Kostas; Vosper, Les - In: European financial management : the journal of the … 8 (2002) 1, pp. 31-58
Persistent link: https://www.econbiz.de/10001688408
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Nested Simulation in Portfolio Risk Measurement
Gordy, Michael B. - 2011
Risk measurement for derivative portfolios almost invariably calls for nested simulation. In the outer step one draws … be unacceptable, and adopt a variety of second-best pricing techniques to avoid the inner simulation. In this paper, we …
Persistent link: https://www.econbiz.de/10013130937
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Simulation-based Value-at-Risk for nonlinear portfolios
Chen, Junyao; Sit, Tony; Wong, Hoi Ying - In: Quantitative finance 19 (2019) 10, pp. 1639-1658
Persistent link: https://www.econbiz.de/10012194812
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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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Outperforming benchmarks with their derivatives : theory and empirical evidence
Balbás de la Corte, Alejandro; Balbás, Beatriz; … - In: Journal of risk 18 (2015/2016) 4, pp. 25-52
Persistent link: https://www.econbiz.de/10011578371
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Valuation of portfolio credit derivatives : theory and application
Moosbrucker, Thomas - 2007
Persistent link: https://www.econbiz.de/10003423570
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Design of power purchase under transmission congestion
Gurgur, Cigdem Z.; Newes, Emily K. - In: International journal of energy sector management : IJESM 6 (2012) 1, pp. 50-64
Persistent link: https://www.econbiz.de/10009550204
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Quantitative credit portfolio management : new techniques for alpha capture
Dor, Arik Ben; Dynkin, Lev; Hyman, Jay; Phelps, Bruce D. - 2012 - 1. ed.
An innovative approach to post-crash credit portfolio management Credit portfolio managers traditionally rely on fundamental research for decisions on issuer selection and sector rotation. Quantitative researchers tend to use more mathematical techniques for pricing models and to quantify credit...
Persistent link: https://www.econbiz.de/10009424011
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Effectiveness of derivatives regulation in India
Raju, H. Phani; Basu, Sankarshan - In: Research bulletin / The Institute of Cost Accountants … 41 (2015) 1, pp. 83-102
Persistent link: https://www.econbiz.de/10011420524