Online Risk Monitoring Using Offline Simulation
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Cites work
- scientific article; zbMATH DE number 1022519 (Why is no real title available?)
- scientific article; zbMATH DE number 1502618 (Why is no real title available?)
- scientific article; zbMATH DE number 845714 (Why is no real title available?)
- An introduction to statistical learning. With applications in R
- Asymptotic Properties of Maximum Likelihood Estimators for the Independent Not Identically Distributed Case
- Asymptotic Statistics
- Computing the distribution function of a conditional expectation via Monte Carlo: discrete conditioning spaces
- Consistency and asymptotic normality of the maximum likelihood estimator in generalized linear models
- Efficient nested simulation for estimating the variance of a conditional expectation
- Efficient risk estimation via nested sequential simulation
- Estimating Security Price Derivatives Using Simulation
- Fast Simulation of Multifactor Portfolio Credit Risk
- Green Simulation
- Importance sampling for portfolio credit risk
- Kernel estimation of the Greeks for options with discontinuous payoffs
- Kernel smoothing for nested estimation with application to portfolio risk measurement
- Large-Scale Loan Portfolio Selection
- Low-discrepancy and low-dispersion sequences
- Maximum Likelihood Estimation of Misspecified Models
- Monte Carlo methods for value-at-risk and conditional value-at-risk: a review
- Nested simulation in portfolio risk measurement
- On large deviation expansion of distribution of maximum likelihood estimator and its application in large sample estimation
- Portfolio Credit Risk with Extremal Dependence: Asymptotic Analysis and Efficient Simulation
- Portfolio Value-at-Risk with Heavy-Tailed Risk Factors
- Risk estimation via regression
- Spectral calibration of exponential Lévy models
- Valuing American options by simulation: a simple least-squares approach
- Variable Selection via Nonconcave Penalized Likelihood and its Oracle Properties
- Variance Reduction Techniques for Estimating Value-at-Risk
Cited in
(8)- Statistical Tests for Cross-Validation of Kriging Models
- Failure mode and effect analysis by exploiting text mining and multi-view group consensus for the defect detection of electric vehicles in social media data
- An enhanced GRASP approach for the index tracking problem
- Fifty years of stochastic simulation: where we are and where we need to go
- Efficient simulation budget allocation for contextual ranking and selection with quadratic models
- The FA-SAA algorithm for CVaR optimization
- Blackbox simulation optimization
- On fair designs of c<scp>ross‐chain</scp> exchange for cryptocurrencies via Monte Carlo simulation
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