Recursive computation of value-at-risk and conditional value-at-risk using MC and QMC

DOI10.1007/978-3-642-04107-5_11MaRDI QIDQ3405433zbMATH OpenOpenAlexFDO

Authors O. Bardou, Noufel Frikha, Gilles Pagès

Publication date 15 February 2010

Published in Monte Carlo and Quasi-Monte Carlo Methods 2008 (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/978-3-642-04107-5_11

zbMATH Keywords

central limit theoremCVaRenergy portfolioimportance samplingMonte Carlostochastic approximationVaR

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Stochastic approximation (62L20) Monte Carlo methods (65C05) Numerical methods (including Monte Carlo methods) (91G60) Statistical methods; risk measures (91G70)

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Cited in

(16)

• Simulation optimization of risk measures with adaptive risk levels
• Sensitivity estimation of conditional value at risk using randomized quasi-Monte Carlo
• Recursive methods for a multi-dimensional risk process with common shocks
• An algorithm for sequential tail value at risk for path-independent payoffs in a binomial tree
• Multi-level stochastic approximation algorithms
• Stochastic root finding and efficient estimation of convex risk measures
• Adaptive reduced-order model construction for conditional value-at-risk estimation
• Computing VaR and CVaR using stochastic approximation and adaptive unconstrained importance sampling
• Computing the distribution function of a conditional expectation via Monte Carlo: discrete conditioning spaces
• Conditional-value-at-risk estimation via reduced-order models
• Stochastic approximation schemes for economic capital and risk margin computations
• Monte Carlo methods for value-at-risk and conditional value-at-risk: a review
• A multilevel stochastic approximation algorithm for value-at-risk and expected shortfall estimation
• CV@R-penalised portfolio optimisation with biased stochastic mirror descent
• Asymptotic error analysis of multilevel stochastic approximations for the value-at-risk and expected shortfall
• Asymptotic representations for importance-sampling estimators of value-at-risk and conditional value-at-risk

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