Fast remote but not extreme quantiles with multiple factors: applications to Solvency II and enterprise risk management (Q635987): Difference between revisions
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| Property / DOI: 10.1007/s13385-011-0034-0 / rank | |||
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| Property / cites work: Efficient Risk Estimation via Nested Sequential Simulation / rank | |||
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| Property / cites work: Q5245005 / rank | |||
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| Property / cites work: Estimating allocations for value-at-risk portfolio optimization / rank | |||
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| Property / cites work: On a Geometric Notion of Quantiles for Multivariate Data / rank | |||
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| Property / DOI: 10.1007/S13385-011-0034-0 / rank | |||
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Latest revision as of 23:15, 9 December 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Fast remote but not extreme quantiles with multiple factors: applications to Solvency II and enterprise risk management |
scientific article |
Statements
Fast remote but not extreme quantiles with multiple factors: applications to Solvency II and enterprise risk management (English)
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25 August 2011
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quantile estimation
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risk factors
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enterprise risk management
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accelerated algorithm
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nested simulations
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