Expected shortfall computation with multiple control variates

DOI10.1016/J.AMC.2019.125018MaRDI QIDQ2293929zbMATH OpenOpenAlexWikidataFDO

Authors Luis Ortiz-Gracia

Publication date 5 February 2020

Published in Applied Mathematics and Computation (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.amc.2019.125018

zbMATH Keywords

expected shortfallcontrol variatesdelta-gamma approximationmarket riskexact formulaSwiss solvency testnonlinear portfolio

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Applications of statistics to actuarial sciences and financial mathematics (62P05) Numerical methods (including Monte Carlo methods) (91G60) Statistical methods; risk measures (91G70) Portfolio theory (91G10)

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Cites work

• scientific article; zbMATH DE number 1790424 (Why is no real title available?)
• scientific article; zbMATH DE number 3388498 (Why is no real title available?)
• Coherent measures of risk
• Computation of market risk measures with stochastic liquidity horizon
• Control variates and conditional Monte Carlo for basket and Asian options
• Efficient VaR and expected shortfall computations for nonlinear portfolios within the delta-gamma approach
• Mathematical models of financial derivatives
• Non-Linear Value-at-Risk *
• The Schur complement and its applications
• The inverse of any two-by-two nonsingular partitioned matrix and three matrix inverse completion problems
• The practice of Delta--Gamma VaR: Implementing the quadratic portfolio model.

Cited in

(2)

• Computation of expected shortfall by fast detection of worst scenarios
• Estimation of multiple period expected shortfall and median shortfall for risk management

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Uses Software

• BRENT

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