Stochastic root finding and efficient estimation of convex risk measures (Q3100504)
From MaRDI portal
 | This is the item page for this Wikibase entity, intended for internal use and editing purposes. Please use this page instead for the normal view: Stochastic root finding and efficient estimation of convex risk measures |
scientific article; zbMATH DE number 5978671
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
||
| English | Stochastic root finding and efficient estimation of convex risk measures |
scientific article; zbMATH DE number 5978671 |
Statements
Stochastic Root Finding and Efficient Estimation of Convex Risk Measures (English)
0 references
24 November 2011
0 references
convex risk measures
0 references
shortfall risk
0 references
stochastic approximation
0 references
stochastic root finding
0 references
importance sampling
0 references
exponential twisting
0 references
portfolio credit risk management
0 references
0.8206577897071838
0 references
0.7979903221130371
0 references
0.7950500845909119
0 references
0.770973801612854
0 references
0.7672232389450073
0 references
