Stochastic root finding and efficient estimation of convex risk measures
From MaRDI portal
Recommendations
- Utility-based shortfall risk: efficient computations via Monte Carlo
- Computing VaR and CVaR using stochastic approximation and adaptive unconstrained importance sampling
- Reliable quantification and efficient estimation of credit risk
- Stochastic approximation schemes for economic capital and risk margin computations
- Recursive computation of value-at-risk and conditional value-at-risk using MC and QMC
Cited in
(14)- Numerical computation of convex risk measures
- Distributionally robust shortfall risk optimization model and its approximation
- Liquidity-adjusted risk measures
- Simulation methods for robust risk assessment and the distorted mix approach
- Reliable quantification and efficient estimation of credit risk
- Utility-based shortfall risk: efficient computations via Monte Carlo
- Multivariate Shortfall Risk Allocation and Systemic Risk
- Robust importance sampling for some typical types of utility-based shortfall risk measures using exponential twisting and kernel density techniques
- Stochastic approximation schemes for economic capital and risk margin computations
- Preference robust models in multivariate utility-based shortfall risk minimization
- scientific article; zbMATH DE number 6276223 (Why is no real title available?)
- Non-asymptotic estimation of risk measures using stochastic gradient Langevin dynamics
- Estimation of systemic shortfall risk measure using stochastic algorithms
- An extreme worst-case risk measure by expectile
This page was built for publication: Stochastic root finding and efficient estimation of convex risk measures
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3100504)
