A simulation-based method for estimating systemic risk measures
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Cites work
- A new approach to measure systemic risk: a bivariate copula model for dependent censored data
- Addressing systemic risk using contingent convertible debt -- a network analysis
- Efficient simulation of value at risk with heavy-tailed risk factors
- scientific article; zbMATH DE number 1999206 (Why is no real title available?)
- On dependence consistency of CoVaR and some other systemic risk measures
- On importance sampling with mixtures for random walks with heavy tails
- On the inefficiency of state-independent importance sampling in the presence of heavy tails
- On the worst and least possible asymptotic dependence
- Optimization with Multivariate Conditional Value-at-Risk Constraints
- Portfolio Value-at-Risk with Heavy-Tailed Risk Factors
- Probabilistic Error Bounds for Simulation Quantile Estimators
- Quantile estimation with Latin hypercube sampling
- Simulating risk measures via asymptotic expansions for relative errors
- State-dependent importance sampling for regularly varying random walks
- Systemic risk-driven portfolio selection
- Systemic risk: conditional distortion risk measures
- Uniform strong estimation under \(\alpha\)-mixing, with rates
- VAR for VaR: measuring tail dependence using multivariate regression quantiles
- Variance Reduction Techniques for Estimating Value-at-Risk
- Worst case risk measurement: back to the future?
- Worst VaR scenarios
- Worst VaR scenarios with given marginals and measures of association
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