VaR/CVaR estimation under stochastic volatility models
From MaRDI portal
Recommendations
- Computing VaR and CVaR using stochastic approximation and adaptive unconstrained importance sampling
- scientific article; zbMATH DE number 2065158
- scientific article; zbMATH DE number 1449652
- Using CAViaR models with implied volatility for value-at-risk estimation
- Value at risk estimation under stochastic volatility models using adaptive PMCMC methods
Cites work
- A closed-form solution for options with stochastic volatility with applications to bond and currency options
- A Fourier transform method for nonparametric estimation of multivariate volatility
- A martingale control variate method for option pricing with stochastic volatility
- A smooth estimator for MC/QMC methods in finance
- A Tale of Two Time Scales
- Coherent measures of risk
- Computation of volatility in stochastic volatility models with high frequency data
- Financial modeling under non-Gaussian distributions.
- Fourier series method for measurement of multivariate volatilities
- scientific article; zbMATH DE number 1517499 (Why is no real title available?)
- scientific article; zbMATH DE number 1869203 (Why is no real title available?)
- scientific article; zbMATH DE number 2231189 (Why is no real title available?)
- Multiscale stochastic volatility for equity, interest rate, and credit derivatives.
Cited in
(22)- A generalised stochastic volatility in mean VAR
- Monte Carlo calibration to implied volatility surface under volatility models
- Estimation of VAR models: computational aspects
- Asymptotic properties of duration-based VaR backtests
- The improved value-at-risk for heteroscedastic processes and their coverage probability
- CVA in fractional and rough volatility models
- Stochastic quasi-gradient techniques in VaR-based ALM models
- Comparing VaR Approximation Methods that Use the First Four Moments as Inputs
- On a transform method for the efficient computation of conditional V\@R (and V\@R) with application to loss models with jumps and stochastic volatility
- scientific article; zbMATH DE number 7234889 (Why is no real title available?)
- Recursive computation of value-at-risk and conditional value-at-risk using MC and QMC
- Consistent Estimation of the Value at Risk When the Error Distribution of the Volatility Model is Misspecified
- Computing VaR and CVaR using stochastic approximation and adaptive unconstrained importance sampling
- Value at risk estimation under stochastic volatility models using adaptive PMCMC methods
- Using CAViaR models with implied volatility for value-at-risk estimation
- Variance reduction approach for the volatility over a finite-time horizon
- scientific article; zbMATH DE number 5589691 (Why is no real title available?)
- Pathwise CVA regressions with oversimulated defaults
- Comparing stochastic volatility specifications for large Bayesian VARs
- Implied value-at-risk and model-free simulation
- BP-CVaR: a novel model of estimating CVaR with back propagation algorithm
- Statistical estimation errors of VaR under ARCH returns
This page was built for publication: VaR/CVaR estimation under stochastic volatility models
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4979882)
