Risk estimation via regression
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Recommendations
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Cites work
- A confidence interval procedure for expected shortfall risk measurement via two-level simulation
- Analytical value-at-risk with jumps and credit risk
- Computing the distribution function of a conditional expectation via Monte Carlo: discrete conditioning spaces
- Efficient nested simulation for estimating the variance of a conditional expectation
- Efficient risk estimation via nested sequential simulation
- Lectures on Stochastic Programming
- Nested simulation in portfolio risk measurement
- Non-Linear Value-at-Risk *
- Variance Reduction Techniques for Estimating Value-at-Risk
Cited in
(49)- Unbiased deep solvers for linear parametric PDEs
- Nested Monte Carlo simulation in financial reporting: a review and a new hybrid approach
- Efficient estimation of a risk measure requiring two-stage simulation optimization
- Approximations of multi-period liability values by simple formulas
- Nested simulation for conditional value-at-risk with discrete losses
- Measures of Residual Risk with Connections to Regression, Risk Tracking, Surrogate Models, and Ambiguity
- Replicating portfolio approach to capital calculation
- The risk inflation criterion for multiple regression
- Machine learning with kernels for portfolio valuation and risk management
- Efficient risk estimation via nested multilevel quasi-Monte Carlo simulation
- Kernel smoothing for nested estimation with application to portfolio risk measurement
- Stochastic approximation schemes for economic capital and risk margin computations
- Ensemble learning for portfolio valuation and risk management
- On the calculation of risk measures using least-squares Monte Carlo
- Technical note—Constructing confidence intervals for nested simulation
- Efficient risk estimation via nested sequential simulation
- Using Smooth Transition Regressions to Model Risk Regimes
- Computation of conditional expectations with guarantees
- How many inner simulations to compute conditional expectations with least-square Monte Carlo?
- Kernel quantile estimators for nested simulation with application to portfolio value-at-risk measurement
- A least-squares Monte Carlo approach to the estimation of enterprise risk
- Sample recycling method -- a new approach to efficient nested Monte Carlo simulations
- A guide to Monte Carlo simulation concepts for assessment of risk-return profiles for regulatory purposes
- Financial network connectedness and systemic risk during the COVID-19 pandemic
- \texttt{openIRM}: publicly accessible internal risk model of an artificial life insurer for analyzing and benchmarking actuarial methods in the Solvency II setting
- Statistical learning of value-at-risk and expected shortfall
- The FA-SAA algorithm for CVaR optimization
- Green nested simulation via likelihood ratio: applications to longevity risk management
- Multilevel Monte Carlo methods and lower-upper bounds in initial margin computations
- Non-nested estimators for the central moments of a conditional expectation and their convergence properties
- Numerical solutions to dynamic portfolio problems with upper bounds
- Online Risk Monitoring Using Offline Simulation
- A minimum variance approach to multivariate linear regression with application to actuarial problems
- A machine learning approach to portfolio pricing and risk management for high‐dimensional problems
- Efficient exposure computation by risk factor decomposition
- Two-stage nested simulation of tail risk measurement: a likelihood ratio approach
- Inference for conditional value-at-risk of a predictive regression
- Fifty years at the interface between financial modeling and operations research
- Efficient nested simulation for conditional tail expectation of variable annuities
- Risk tuning with generalized linear regression
- Improved convergence rate of nested simulation with LSE on sieve
- Deep xVA Solver: A Neural Network–Based Counterparty Credit Risk Management Framework
- Methods for computing numerical standard errors: review and application to value-at-risk estimation
- A multilevel stochastic approximation algorithm for value-at-risk and expected shortfall estimation
- MCMC design-based non-parametric regression for rare event. application to nested risk computations
- Risk prediction with machine learning and regression methods
- An efficient estimation of nested expectations without conditional sampling
- Technical Note—Bootstrap-based Budget Allocation for Nested Simulation
- Economic Representative Scenarios for Variable Annuity Dynamic Hedging of GMMB and GMDB
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