Portfolio Value-at-Risk with Heavy-Tailed Risk Factors
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Cites work
- scientific article; zbMATH DE number 3136275 (Why is no real title available?)
- scientific article; zbMATH DE number 699423 (Why is no real title available?)
- scientific article; zbMATH DE number 3319139 (Why is no real title available?)
- scientific article; zbMATH DE number 3059214 (Why is no real title available?)
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- The multivariate normal distribution
Cited in
(72)- A simulation environment for discontinuous portfolio value processes
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- Moment based approaches to Value the Risk of contingent claim portfolios
- Simulating risk measures via asymptotic expansions for relative errors
- Executives' perceived environmental uncertainty shortly after 9/11
- Asset allocation when guarding against catastrophic losses: a comparison between the structure variable and joint probability methods
- Opportunities and restrictions on the use of zone RANS-IDDES approach to a fan noise calculation
- Measuring the risk of a non-linear portfolio with fat-tailed risk factors through a probability conserving transformation
- Sequential design and spatial modeling for portfolio tail risk measurement
- A new variance reduction technique for estimating value-at-risk
- An efficient method of evaluating portfolio risk and return
- The expected shortfall of quadratic portfolios with heavy-tailed risk factors
- Portfolio diversification and value at risk under thick-tailedness†
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- Black-Litterman model for continuous distributions
- Rare-event probability estimation with conditional Monte Carlo
- Risk management for linear and nonlinear assets: a bootstrap method with importance resampling to evaluate value-at-risk
- Density approximations and VaR computation for compound Poisson-lognormal distributions
- Monte Carlo methods for value-at-risk and conditional value-at-risk: a review
- Accounting for risk of non linear portfolios. A novel Fourier approach
- Asymptotic representations for importance-sampling estimators of value-at-risk and conditional value-at-risk
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- Modeling the yearly value-at-risk for operational risk in Chinese commercial banks
- Multivariate elliptical truncated moments
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- Analytical value-at-risk with jumps and credit risk
- The measurement of market risk. Modelling of risk factors, asset pricing, and approximation of portfolio distributions
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- Bayesian value-at-risk backtesting: the case of annuity pricing
- Efficient simulation of value at risk with heavy-tailed risk factors
- Asymptotic distribution of the sample average value-at-risk in the case of heavy-tailed returns
- Asymptotic behavior of the cross-dependence measures for bidimensional AR(1) model with \(\alpha \)-stable noise
- Directional entropy and tail uncertainty, with applications to financial hazard
- Multivariate heavy-tailed models for value-at-risk estimation
- On kernel-based estimation of distribution function and its quantiles based on ranked set sampling
- Large deviations estimation of the windfall and shortfall probabilities for optimal diversified portfolios
- MLMC for nested expectations
- C-NORTA: a rejection procedure for sampling from the tail of bivariate NORTA distributions
- Efficient algorithms for calculating risk measures and risk contributions in copula credit risk models
- VALUE-AT-RISK AND EXPECTED SHORTFALL FOR LINEAR PORTFOLIOS WITH ELLIPTICALLY DISTRIBUTED RISK FACTORS
- A modified network DEA model for bank efficiency analysis considering risk factors
- Quantile approximations in auto-regressive portfolio models
- Importance sampling for a simple Markovian intensity model using subsolutions
- Portfolio value-at-risk and expected-shortfall using an efficient simulation approach based on Gaussian mixture model
- Computational aspects of portfolio risk estimation in volatile markets: a survey
- Efficient risk simulations for linear asset portfolios in the t-copula model
- Portfolio optimization by using MeanSharp-βVaR and Multi Objective MeanSharp-βVaR models
- A simulation-based method for estimating systemic risk measures
- Normex, a new method for evaluating the distribution of aggregated heavy tailed risks
- \(\varDelta \)-VaR and\(\varDelta \)-TVaR for portfolios with mixture of elliptic distributions risk factors and DCC
- Approximation of multiple integrals over hyperboloids with application to a quadratic portfolio with options
- A new Fourier transform algorithm for value-at-risk
- NORTA for portfolio credit risk
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- Algorithmic Applications in Management
- A Truncated Bivariate t Distribution
- Online Risk Monitoring Using Offline Simulation
- The convergence rate and asymptotic distribution of the bootstrap quantile variance estimator for importance sampling
- Multivariate modeling of precipitation-induced home insurance risks using data depth
- Efficient exponential tilting with applications
- Reliable quantification and efficient estimation of credit risk
- Single-index importance sampling with stratification
- Optimally stratified importance sampling for portfolio risk with multiple loss thresholds
- Moderate deviation principles for importance sampling estimators of risk measures
- Importance sampling for integrated market and credit portfolio models
- Computing tails of compound distributions using direct numerical integration
- Multivariate Mixtures of Normal Distributions: Properties, Random Vector Generation, Fitting, and as Models of Market Daily Changes
- Estimating value at risk with semiparametric support vector quantile regression
- A generalized Fourier transform approach to risk measures
- Variance reduction for risk measures with importance sampling in nested simulation
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