Expected shortfall computation with multiple control variates (Q2293929)
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scientific article; zbMATH DE number 7163450
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| default for all languages | No label defined |
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| English | Expected shortfall computation with multiple control variates |
scientific article; zbMATH DE number 7163450 |
Statements
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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0.7711616158485413
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0.7484550476074219
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0.7406362891197205
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0.7393277287483215
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0.7389046549797058
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