Stability analysis of the expected shortfall estimation

MaRDI QIDQ3640538zbMATH OpenFDO

Authors Yuanrui Zhan, Junmei Liu

Publication date 11 November 2009

zbMATH Keywords

credit riskexpected shortfallimportance samplingrisk contributions

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Credit risk (91G40) Numerical methods (including Monte Carlo methods) (91G60)

Recommendations

• Applying importance sampling for estimating coherent credit risk contributions
• Importance sampling for portfolio credit risk
• Managing risk with expected shortfall
• An importance sampling method for portfolio risk
• Simulating risk contributions of credit portfolios

Cited in

(8)

• Analytical solutions for expected loss and standard deviation of loss with an additional loan
• Expected shortfall computation with multiple control variates
• Estimation of multiple period expected shortfall and median shortfall for risk management
• A confidence interval procedure for expected shortfall risk measurement via two-level simulation
• Applying importance sampling for estimating coherent credit risk contributions
• Computation of expected shortfall by fast detection of worst scenarios
• Analysis of the Expected Shortfall of Aggregate Dependent Risks
• Monte Carlo Methods for Economic Capital

This page was built for publication: Stability analysis of the expected shortfall estimation

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3640538)