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