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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 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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Efficient algorithms for calculating risk measures and risk contributions in copula credit risk models
Huang, Zhenzhen; Kwok, Yue-Kuen; Xu, Ziqing - In: Insurance : mathematics and economics 115 (2024), pp. 132-150
Persistent link: https://www.econbiz.de/10015066737
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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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Estimating the distribution of total default losses on the Spanish financial system
García-Céspedes, Rubén; Moreno, Manuel - In: Journal of banking & finance 49 (2014), pp. 242-261
Persistent link: https://www.econbiz.de/10010508036
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Efficient simulation of value-at-risk under a jump diffusion model : a new method for moderate deviation events
Fuh, Cheng-Der; Teng, Huei-Wen; Wang, Ren-Her - In: Computational economics 51 (2018) 4, pp. 973-990
Persistent link: https://www.econbiz.de/10011972209
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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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Estimation of value-at-risk for conduct risk losses using pseudo-marginal Markov chain Monte Carlo
Mitic, Peter; Hu, Jiaqi - In: The journal of operational risk 14 (2019) 4, pp. 1-42
Persistent link: https://www.econbiz.de/10012157425
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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
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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