Expected shortfall computation with multiple control variates

DOI10.1016/j.amc.2019.125018zbMath1433.91195OpenAlexW2999158927WikidataQ126355804 ScholiaQ126355804MaRDI QIDQ2293929

Luis Ortiz-Gracia

Publication date: 5 February 2020

Published in: Applied Mathematics and Computation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.amc.2019.125018

zbMATH Keywords

delta-gamma approximationmarket riskexpected shortfallcontrol variatesexact formulaSwiss solvency testnonlinear portfolio

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Numerical methods (including Monte Carlo methods) (91G60) Statistical methods; risk measures (91G70) Monte Carlo methods (65C05) Portfolio theory (91G10)

Uses Software

• BRENT

Cites Work

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• Mathematical models of financial derivatives
• The inverse of any two-by-two nonsingular partitioned matrix and three matrix inverse completion problems
• The practice of Delta--Gamma VaR: Implementing the quadratic portfolio model.
• Computation of market risk measures with stochastic liquidity horizon
• The Schur complement and its applications
• Control variates and conditional Monte Carlo for basket and Asian options
• Coherent Measures of Risk
• Non-Linear Value-at-Risk *

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