Pages that link to "Item:Q3117320"

The following pages link to Nested Simulation in Portfolio Risk Measurement (Q3117320):

Displaying 50 items.

• Estimating the density of a conditional expectation (Q262700) (← links)
• MCMC design-based non-parametric regression for rare event. application to nested risk computations (Q515537) (← links)
• Multilevel Monte Carlo methods and lower-upper bounds in initial margin computations (Q777908) (← links)
• Replicating portfolio approach to capital calculation (Q1691451) (← links)
• Regression and Kriging metamodels with their experimental designs in simulation: a review (Q1752155) (← links)
• Simulation optimization of risk measures with adaptive risk levels (Q1753134) (← links)
• Efficient estimation and filtering for multivariate jump-diffusions (Q2024483) (← links)
• Non-nested estimators for the central moments of a conditional expectation and their convergence properties (Q2060336) (← links)
• Sensitivity estimation of conditional value at risk using randomized quasi-Monte Carlo (Q2076930) (← links)
• An efficient estimation of nested expectations without conditional sampling (Q2095139) (← links)
• Efficient estimation of a risk measure requiring two-stage simulation optimization (Q2103034) (← links)
• Machine learning with kernels for portfolio valuation and risk management (Q2120539) (← links)
• A least-squares Monte Carlo approach to the estimation of enterprise risk (Q2153521) (← links)
• Sample recycling method -- a new approach to efficient nested Monte Carlo simulations (Q2155860) (← links)
• Green nested simulation via likelihood ratio: applications to longevity risk management (Q2172053) (← links)
• Weak error for nested multilevel Monte Carlo (Q2218848) (← links)
• Multilevel Monte Carlo for computing the SCR with the standard formula and other stress tests (Q2234762) (← links)
• Estimating value-at-risk and expected shortfall using the intraday low and range data (Q2272312) (← links)
• An aspect of optimal regression design for LSMC (Q2293277) (← links)
• Two-stage nested simulation of tail risk measurement: a likelihood ratio approach (Q2681447) (← links)
• Risk Estimation via Regression (Q2795869) (← links)
• ESTIMATING RESIDUAL HEDGING RISK WITH LEAST-SQUARES MONTE CARLO (Q2941057) (← links)
• Multilevel Simulation Based Policy Iteration for Optimal Stopping--Convergence and Complexity (Q2945162) (← links)
• Efficient VaR and CVaR Measurement via Stochastic Kriging (Q2960358) (← links)
• Sequential Design and Spatial Modeling for Portfolio Tail Risk Measurement (Q3122061) (← links)
• Online Risk Monitoring Using Offline Simulation (Q3386770) (← links)
• Kernel Smoothing for Nested Estimation with Application to Portfolio Risk Measurement (Q4604901) (← links)
• MLMC for Nested Expectations (Q4611811) (← links)
• Efficient exposure computation by risk factor decomposition (Q4619510) (← links)
• XVA PRINCIPLES, NESTED MONTE CARLO STRATEGIES, AND GPU OPTIMIZATIONS (Q4686502) (← links)
• Numerical approximations of McKean anticipative backward stochastic differential equations arising in initial margin requirements (Q4967860) (← links)
• Stochastic approximation schemes for economic capital and risk margin computations (Q4967869) (← links)
• A sparse grid approach to balance sheet risk measurement (Q4967874) (← links)
• Computation of expected shortfall by fast detection of worst scenarios (Q5014243) (← links)
• Nested Monte Carlo simulation in financial reporting: a review and a new hybrid approach (Q5014496) (← links)
• Variance reduction for risk measures with importance sampling in nested simulation (Q5079359) (← links)
• Technical Note—Bootstrap-based Budget Allocation for Nested Simulation (Q5080667) (← links)
• Adaptive Multilevel Monte Carlo for Probabilities (Q5096456) (← links)
• Efficient Nested Simulation for Conditional Tail Expectation of Variable Annuities (Q5139810) (← links)
• Stochastic kriging with biased sample estimates (Q5176918) (← links)
• Multilevel Nested Simulation for Efficient Risk Estimation (Q5228366) (← links)
• Simulation-based Value-at-Risk for nonlinear portfolios (Q5235455) (← links)
• Computing Bayesian Means Using Simulation (Q5270661) (← links)
• Monte Carlo Methods for Value-at-Risk and Conditional Value-at-Risk (Q5270722) (← links)
• A Dual Method For Evaluation of Dynamic Risk in Diffusion Processes (Q5854389) (← links)
• Technical note—Constructing confidence intervals for nested simulation (Q6054413) (← links)
• A machine learning approach to portfolio pricing and risk management for high‐dimensional problems (Q6054432) (← links)
• Kernel quantile estimators for nested simulation with application to portfolio value-at-risk measurement (Q6066180) (← links)
• Adaptive importance sampling for extreme quantile estimation with stochastic black box computer models (Q6072164) (← links)
• Pathwise CVA regressions with oversimulated defaults (Q6078661) (← links)