Variance Reduction Techniques for Estimating Value-at-Risk
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Cited in
(57)- The efficiency of variance reduction in manufacturing and service systems: the comparison of the control variates and stratified sampling
- Computing near-optimal value-at-risk portfolios using integer programming techniques
- Sensitivity estimation of conditional value at risk using randomized quasi-Monte Carlo
- Accelerating Monte Carlo estimation with derivatives of high-level finite element models
- On variance reduction of mean-CVaR Monte Carlo estimators
- Risk management for linear and nonlinear assets: a bootstrap method with importance resampling to evaluate value-at-risk
- A variance reduction method based on sensitivity derivatives
- On the conditional distributions and the efficient simulations of exponential integrals of Gaussian random fields
- Single-index importance sampling with stratification
- Risk estimation via regression
- On the tail probabilities of aggregated lognormal random fields with small noise
- C-NORTA: a rejection procedure for sampling from the tail of bivariate NORTA distributions
- Variance reduction techniques for nested simulation in measuring portfolio's risk
- Efficient simulation of value at risk with heavy-tailed risk factors
- Reclaiming quasi-Monte Carlo efficiency in portfolio value-at-risk simulation through Fourier transform
- The convergence rate and asymptotic distribution of the bootstrap quantile variance estimator for importance sampling
- Online Risk Monitoring Using Offline Simulation
- Recursive computation of value-at-risk and conditional value-at-risk using MC and QMC
- Technical Note—On Estimating Quantile Sensitivities via Infinitesimal Perturbation Analysis
- Pricing Options Using Lattice Rules
- Risk management using VaR simulation with applications to Bucharest stock exchange
- Tail approximations of integrals of Gaussian random fields
- Some asymptotic results of Gaussian random fields with varying mean functions and the associated processes
- Computing the distribution function of a conditional expectation via Monte Carlo: discrete conditioning spaces
- Reduction of Value-at-Risk bounds via independence and variance information
- Importance sampling and stratification for copula models
- MLMC for nested expectations
- How does the choice of Value-at-Risk estimator influence asset allocation decisions?
- Confidence intervals for quantiles when applying variance-reduction techniques
- A new variance reduction technique for estimating value-at-risk
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- Numerical approximations of McKean anticipative backward stochastic differential equations arising in initial margin requirements
- Variance reduction for risk measures with importance sampling in nested simulation
- A Tutorial on Quantile Estimation via Monte Carlo
- Convergence analysis of quasi-Monte Carlo sampling for quantile and expected shortfall
- Large sample behavior of the CTE and VaR estimators under importance sampling
- Confidence intervals for quantiles using sectioning when applying variance-reduction techniques
- Efficient simulations for the exponential integrals of Hölder continuous Gaussian random fields
- Monte Carlo methods for value-at-risk and conditional value-at-risk: a review
- Two-Stage Importance Sampling With Mixture Proposals
- Optimally stratified importance sampling for portfolio risk with multiple loss thresholds
- On kernel-based estimation of distribution function and its quantiles based on ranked set sampling
- Simulating risk measures via asymptotic expansions for relative errors
- Distribution‐free Approximate Methods for Constructing Confidence Intervals for Quantiles
- Adaptive importance sampling for extreme quantile estimation with stochastic black box computer models
- A simulation-based method for estimating systemic risk measures
- Robust optimization with order statistic uncertainty set
- Efficient algorithms for calculating risk measures and risk contributions in copula credit risk models
- Efficient exponential tilting with applications
- Efficient estimation of extreme quantiles using adaptive kriging and importance sampling
- Risk quantification in stochastic simulation under input uncertainty
- Blackbox simulation optimization
- Adaptive sequential selection procedures for optimal quantile with control variates
- On the controversy over tailweight of distributions.
- Importance sampling for integrated market and credit portfolio models
- Asymptotic representations for importance-sampling estimators of value-at-risk and conditional value-at-risk
- Controlled stratification for quantile estimation
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