Nested simulation in portfolio risk measurement
From MaRDI portal
Recommendations
- Variance reduction techniques for nested simulation in measuring portfolio's risk
- Kernel smoothing for nested estimation with application to portfolio risk measurement
- Sample recycling method -- a new approach to efficient nested Monte Carlo simulations
- The estimator of the variance of conditional expectation and the calculation of value at risk based on the two-level nested simulation
- Multilevel nested simulation for efficient risk estimation
Cited in
(74)- Replicating portfolio approach to capital calculation
- Regression and Kriging metamodels with their experimental designs in simulation: a review
- Simulation optimization of risk measures with adaptive risk levels
- Efficient estimation and filtering for multivariate jump-diffusions
- Non-nested estimators for the central moments of a conditional expectation and their convergence properties
- Sensitivity estimation of conditional value at risk using randomized quasi-Monte Carlo
- An efficient estimation of nested expectations without conditional sampling
- Efficient estimation of a risk measure requiring two-stage simulation optimization
- Machine learning with kernels for portfolio valuation and risk management
- A least-squares Monte Carlo approach to the estimation of enterprise risk
- Sample recycling method -- a new approach to efficient nested Monte Carlo simulations
- Green nested simulation via likelihood ratio: applications to longevity risk management
- Weak error for nested multilevel Monte Carlo
- Multilevel Monte Carlo for computing the SCR with the standard formula and other stress tests
- Estimating value-at-risk and expected shortfall using the intraday low and range data
- An aspect of optimal regression design for LSMC
- Estimating the density of a conditional expectation
- Two-stage nested simulation of tail risk measurement: a likelihood ratio approach
- Risk estimation via regression
- Variance reduction techniques for nested simulation in measuring portfolio's risk
- Efficient nested simulation for estimating the variance of a conditional expectation
- Estimating residual hedging risk with least-squares Monte Carlo
- Multilevel simulation based policy iteration for optimal stopping -- convergence and complexity
- Efficient VaR and CVaR measurement via stochastic kriging
- Sequential design and spatial modeling for portfolio tail risk measurement
- Online Risk Monitoring Using Offline Simulation
- NestedL-statistics and their use in comparing the riskiness of portfolios
- Kernel smoothing for nested estimation with application to portfolio risk measurement
- MLMC for nested expectations
- Efficient exposure computation by risk factor decomposition
- XVA principles, nested Monte Carlo strategies, and GPU optimizations
- Numerical approximations of McKean anticipative backward stochastic differential equations arising in initial margin requirements
- Stochastic approximation schemes for economic capital and risk margin computations
- A sparse grid approach to balance sheet risk measurement
- Computation of expected shortfall by fast detection of worst scenarios
- Nested Monte Carlo simulation in financial reporting: a review and a new hybrid approach
- Variance reduction for risk measures with importance sampling in nested simulation
- Technical Note—Bootstrap-based Budget Allocation for Nested Simulation
- Adaptive multilevel Monte Carlo for probabilities
- Efficient nested simulation for conditional tail expectation of variable annuities
- MCMC design-based non-parametric regression for rare event. application to nested risk computations
- Stochastic kriging with biased sample estimates
- Efficient risk estimation via nested sequential simulation
- Multilevel nested simulation for efficient risk estimation
- Simulation-based Value-at-Risk for nonlinear portfolios
- Computing Bayesian means using simulation
- Monte Carlo methods for value-at-risk and conditional value-at-risk: a review
- A Dual Method For Evaluation of Dynamic Risk in Diffusion Processes
- Technical note—Constructing confidence intervals for nested simulation
- A machine learning approach to portfolio pricing and risk management for high‐dimensional problems
- Kernel quantile estimators for nested simulation with application to portfolio value-at-risk measurement
- Adaptive importance sampling for extreme quantile estimation with stochastic black box computer models
- Pathwise CVA regressions with oversimulated defaults
- Review of statistical approaches for modeling high-frequency trading data
- Computation of conditional expectations with guarantees
- Deep xVA Solver: A Neural Network–Based Counterparty Credit Risk Management Framework
- How many inner simulations to compute conditional expectations with least-square Monte Carlo?
- Nested Simulations: Theory and Application
- Economic Representative Scenarios for Variable Annuity Dynamic Hedging of GMMB and GMDB
- Machine learning techniques in nested stochastic simulations for life insurance
- Bias-corrected estimation of the density of a conditional expectation in nested simulation problems
- Risk quantification in stochastic simulation under input uncertainty
- The FA-SAA algorithm for CVaR optimization
- Transformers-based least square Monte Carlo for solvency calculation in life insurance
- Improved convergence rate of nested simulation with LSE on sieve
- A bootstrap-based bandwidth selection rule for kernel quantile estimators
- A multilevel stochastic approximation algorithm for value-at-risk and expected shortfall estimation
- Propagation of a carbon price in a credit portfolio through macroeconomic factors
- Nested simulation for conditional value-at-risk with discrete losses
- Ensemble learning for portfolio valuation and risk management
- Asymptotic error analysis of multilevel stochastic approximations for the value-at-risk and expected shortfall
- Explainable Least Square Monte Carlo for Solvency Capital Requirement Evaluation
- Optimized multi-level Monte Carlo parametrization and antithetic sampling for nested simulations
- Multilevel Monte Carlo methods and lower-upper bounds in initial margin computations
This page was built for publication: Nested simulation in portfolio risk measurement
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3117320)
