Pages that link to "Item:Q3114651"
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The following pages link to Variance Reduction Techniques for Estimating Value-at-Risk (Q3114651):
Displaying 42 items.
- Tail approximations of integrals of Gaussian random fields (Q428142) (← links)
- Some asymptotic results of Gaussian random fields with varying mean functions and the associated processes (Q450031) (← links)
- On the controversy over tailweight of distributions. (Q703249) (← links)
- Importance sampling for integrated market and credit portfolio models (Q953448) (← links)
- Asymptotic representations for importance-sampling estimators of value-at-risk and conditional value-at-risk (Q991456) (← links)
- Controlled stratification for quantile estimation (Q999679) (← links)
- The efficiency of variance reduction in manufacturing and service systems: the comparison of the control variates and stratified sampling (Q1036465) (← links)
- Computing near-optimal value-at-risk portfolios using integer programming techniques (Q1754091) (← links)
- Sensitivity estimation of conditional value at risk using randomized quasi-Monte Carlo (Q2076930) (← links)
- Accelerating Monte Carlo estimation with derivatives of high-level finite element models (Q2309798) (← links)
- Risk management for linear and nonlinear assets: a bootstrap method with importance resampling to evaluate value-at-risk (Q2454819) (← links)
- A variance reduction method based on sensitivity derivatives (Q2495434) (← links)
- On the conditional distributions and the efficient simulations of exponential integrals of Gaussian random fields (Q2511562) (← links)
- Single-index importance sampling with stratification (Q2684956) (← links)
- Risk Estimation via Regression (Q2795869) (← links)
- On the Tail Probabilities of Aggregated Lognormal Random Fields with Small Noise (Q2800372) (← links)
- C-NORTA: A Rejection Procedure for Sampling from the Tail of Bivariate NORTA Distributions (Q2815446) (← links)
- The Convergence Rate and Asymptotic Distribution of the Bootstrap Quantile Variance Estimator for Importance Sampling (Q3167340) (← links)
- Online Risk Monitoring Using Offline Simulation (Q3386770) (← links)
- Technical Note—On Estimating Quantile Sensitivities via Infinitesimal Perturbation Analysis (Q3453343) (← links)
- Pricing Options Using Lattice Rules (Q3518776) (← links)
- MLMC for Nested Expectations (Q4611811) (← links)
- How does the choice of Value-at-Risk estimator influence asset allocation decisions? (Q4619539) (← links)
- A New Variance Reduction Technique for Estimating Value-at-Risk (Q4682473) (← links)
- Numerical approximations of McKean anticipative backward stochastic differential equations arising in initial margin requirements (Q4967860) (← links)
- Variance reduction for risk measures with importance sampling in nested simulation (Q5079359) (← links)
- A Tutorial on Quantile Estimation via Monte Carlo (Q5117919) (← links)
- Convergence analysis of quasi-Monte Carlo sampling for quantile and expected shortfall (Q5131004) (← links)
- Large Sample Behavior of the CTE and VaR Estimators under Importance Sampling (Q5168709) (← links)
- Confidence Intervals for Quantiles Using Sectioning When Applying Variance-Reduction Techniques (Q5176488) (← links)
- Efficient simulations for the exponential integrals of Hölder continuous gaussian random fields (Q5176919) (← links)
- Monte Carlo Methods for Value-at-Risk and Conditional Value-at-Risk (Q5270722) (← links)
- Two-Stage Importance Sampling With Mixture Proposals (Q5406362) (← links)
- Optimally stratified importance sampling for portfolio risk with multiple loss thresholds (Q5746726) (← links)
- Simulating risk measures via asymptotic expansions for relative errors (Q6054368) (← links)
- Distribution‐free Approximate Methods for Constructing Confidence Intervals for Quantiles (Q6064340) (← links)
- Adaptive importance sampling for extreme quantile estimation with stochastic black box computer models (Q6072164) (← links)
- A simulation-based method for estimating systemic risk measures (Q6087550) (← links)
- Robust optimization with order statistic uncertainty set (Q6096627) (← links)
- Efficient algorithms for calculating risk measures and risk contributions in copula credit risk models (Q6199670) (← links)
- Efficient exponential tilting with applications (Q6494401) (← links)
- Efficient estimation of extreme quantiles using adaptive kriging and importance sampling (Q6497763) (← links)
