Pages that link to "Item:Q4795995"

The following pages link to Portfolio Value-at-Risk with Heavy-Tailed Risk Factors (Q4795995):

Displaying 50 items.

• Efficient VaR and expected shortfall computations for nonlinear portfolios within the delta-gamma approach (Q278288) (← links)
• Modeling the yearly value-at-risk for operational risk in Chinese commercial banks (Q433617) (← links)
• Large deviations estimation of the windfall and shortfall probabilities for optimal diversified portfolios (Q470428) (← links)
• Accounting for risk of non linear portfolios. A novel Fourier approach (Q614629) (← links)
• Rare-event probability estimation with conditional Monte Carlo (Q666350) (← links)
• On the controversy over tailweight of distributions. (Q703249) (← links)
• Importance sampling for integrated market and credit portfolio models (Q953448) (← links)
• Executives' perceived environmental uncertainty shortly after 9/11 (Q961812) (← links)
• Asymptotic representations for importance-sampling estimators of value-at-risk and conditional value-at-risk (Q991456) (← links)
• \(\varDelta \)-VaR and\(\varDelta \)-TVaR for portfolios with mixture of elliptic distributions risk factors and DCC (Q1023092) (← links)
• Approximation of multiple integrals over hyperboloids with application to a quadratic portfolio with options (Q1023678) (← links)
• Efficient risk simulations for linear asset portfolios in the \(t\)-copula model (Q1041011) (← links)
• Black-Litterman model for continuous distributions (Q1622823) (← links)
• Computation of market risk measures with stochastic liquidity horizon (Q1639562) (← links)
• Bayesian value-at-risk backtesting: the case of annuity pricing (Q2030319) (← links)
• NORTA for portfolio credit risk (Q2288893) (← links)
• Multivariate elliptical truncated moments (Q2397126) (← links)
• Efficient randomized quasi-Monte Carlo methods for portfolio market risk (Q2404543) (← links)
• Risk management for linear and nonlinear assets: a bootstrap method with importance resampling to evaluate value-at-risk (Q2454819) (← links)
• Estimating value at risk with semiparametric support vector quantile regression (Q2512755) (← links)
• Portfolio value-at-risk and expected-shortfall using an efficient simulation approach based on Gaussian mixture model (Q2666309) (← links)
• Single-index importance sampling with stratification (Q2684956) (← links)
• C-NORTA: A Rejection Procedure for Sampling from the Tail of Bivariate NORTA Distributions (Q2815446) (← links)
• Reliable Quantification and Efficient Estimation of Credit Risk (Q2841947) (← links)
• MULTIVARIATE HEAVY-TAILED MODELS FOR VALUE-AT-RISK ESTIMATION (Q2909514) (← links)
• The Convergence Rate and Asymptotic Distribution of the Bootstrap Quantile Variance Estimator for Importance Sampling (Q3167340) (← links)
• Directional entropy and tail uncertainty, with applications to financial hazard (Q3169219) (← links)
• A generalized Fourier transform approach to risk measures (Q3301115) (← links)
• Online Risk Monitoring Using Offline Simulation (Q3386770) (← links)
• Multivariate Mixtures of Normal Distributions: Properties, Random Vector Generation, Fitting, and as Models of Market Daily Changes (Q3466767) (← links)
• A Truncated Bivariate t Distribution (Q3526963) (← links)
• Portfolio diversification and value at risk under thick-tailedness† (Q3645198) (← links)
• Computing VaR and CVaR using stochastic approximation and adaptive unconstrained importance sampling (Q3654434) (← links)
• A new Fourier transform algorithm for value-at-risk (Q4610240) (← links)
• MLMC for Nested Expectations (Q4611811) (← links)
• A New Variance Reduction Technique for Estimating Value-at-Risk (Q4682473) (← links)
• Moderate deviation principles for importance sampling estimators of risk measures (Q4684867) (← links)
• THE EXPECTED SHORTFALL OF QUADRATIC PORTFOLIOS WITH HEAVY‐TAILED RISK FACTORS (Q4919617) (← links)
• Asymptotic behavior of the cross-dependence measures for bidimensional AR(1) model with $\alpha $-stable noise (Q4989148) (← links)
• Portfolio optimization by using MeanSharp-βVaR and Multi Objective MeanSharp-βVaR models (Q5023453) (← links)
• Возможности и ограничения применения зонного RANS-IDDES подхода к задаче расчета шума вентилятора турбовентиляторных двигателей (Q5043709) (← links)
• Variance reduction for risk measures with importance sampling in nested simulation (Q5079359) (← links)
• Monte Carlo Methods for Value-at-Risk and Conditional Value-at-Risk (Q5270722) (← links)
• VALUE-AT-RISK AND EXPECTED SHORTFALL FOR LINEAR PORTFOLIOS WITH ELLIPTICALLY DISTRIBUTED RISK FACTORS (Q5696292) (← links)
• Estimation of extreme quantiles in a simulation model (Q5742402) (← 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)
• A simulation-based method for estimating systemic risk measures (Q6087550) (← links)
• Efficient algorithms for calculating risk measures and risk contributions in copula credit risk models (Q6199670) (← links)
• Efficient exponential tilting with applications (Q6494401) (← links)