Estimation of risk contributions with MCMC
From MaRDI portal
Publication:5234382
DOI10.1080/14697688.2019.1588469zbMath1420.91528arXiv1702.03098OpenAlexW2593065375MaRDI QIDQ5234382
Publication date: 26 September 2019
Published in: Quantitative Finance (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1702.03098
copulasMarkov chain Monte Carlovalue-at-riskMetropolis-Hastings algorithmrisk allocationrisk contributionsVaR contributions
Numerical methods (including Monte Carlo methods) (91G60) Statistical methods; risk measures (91G70) Monte Carlo methods (65C05) Numerical analysis or methods applied to Markov chains (65C40)
Related Items
Modality for scenario analysis and maximum likelihood allocation, Avoiding zero probability events when computing value at risk contributions, Model-free computation of risk contributions in credit portfolios, Efficient algorithms for calculating risk measures and risk contributions in copula credit risk models, Stop-loss protection for a large P2P insurance pool, Efron's asymptotic monotonicity property in the Gaussian stable domain of attraction, A Monte Carlo integration approach to estimating drift and minorization coefficients for Metropolis-Hastings samplers
Uses Software
Cites Work
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