Variance reduction techniques for nested simulation in measuring portfolio's risk

DOI10.3969/J.ISSN.1006-6330.2016.01.002MaRDI QIDQ2823520zbMATH OpenFDO

Authors Qian Wu, Yongchao Sun, Chenglong Xu

Publication date 6 October 2016

Published in Communication on Applied Mathematics and Computation (Search for Journal in Brave)

Full work available at URL https://doi.org/10.3969/J.ISSN.1006-6330.2016.01.002

zbMATH Keywords

control variateimportance samplingnested simulationregressionvariance reduction

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Statistical methods; risk measures (91G70)

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Cited in

(14)

• Sample recycling method -- a new approach to efficient nested Monte Carlo simulations
• Two-stage nested simulation of tail risk measurement: a likelihood ratio approach
• Risk estimation via regression
• Variance Reduction Techniques for Estimating Value-at-Risk
• Nested simulation in portfolio risk measurement
• Kernel smoothing for nested estimation with application to portfolio risk measurement
• A new variance reduction technique for estimating value-at-risk
• scientific article; zbMATH DE number 1390123 (Why is no real title available?)
• The estimator of the variance of conditional expectation and the calculation of value at risk based on the two-level nested simulation
• Nested Monte Carlo simulation in financial reporting: a review and a new hybrid approach
• Variance reduction for risk measures with importance sampling in nested simulation
• Efficient nested simulation for conditional tail expectation of variable annuities
• Efficient risk estimation via nested sequential simulation
• Multilevel nested simulation for efficient risk estimation

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