Monte Carlo estimation of CoVaR

DOI10.1287/OPRE.2023.0211MaRDI QIDQ7035355zbMATH OpenFDO

Authors Weihuan Huang, Nifei Lin, L. Jeff Hong

Publication date 30 January 2025

Published in Operations Research (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1287/OPRE.2023.0211

zbMATH Keywords

batchingCoVaRdelta-gamma approximationimportance samplingMonte Carlo simulationstatistical analysissystemic risk

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70)

Cited in

(2)

• Monte Carlo and importance sampling estimators of CoVaR
• A kernel-based stochastic approximation framework for contextual optimization

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