Expected shortfall computation with multiple control variates (Q2293929)
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scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Expected shortfall computation with multiple control variates |
scientific article |
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Expected shortfall computation with multiple control variates (English)
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5 February 2020
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Swiss solvency test
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market risk
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nonlinear portfolio
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delta-gamma approximation
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expected shortfall
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exact formula
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control variates
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