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Asymptotic representations for importance-sampling estimators of value-at-risk and conditional value-at-risk

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References

2005Importance Sampling for Portfolio Credit Risk322 cited
2002Portfolio Value‐at‐Risk with Heavy‐Tailed Risk Factors284 cited
2000Variance Reduction Techniques for Estimating Value-at-Risk217 cited
2008Simulating Sensitivities of Conditional Value at Risk143 cited
2007Financial prediction with constrained tail risk70 cited

Cited by

2017Quantile Estimation with Latin Hypercube Sampling41 cited
2018Concentration bounds for empirical conditional value-at-risk: The unbounded case39 cited
2014Confidence Intervals for Quantiles Using Sectioning When Applying Variance-Reduction Techniques39 cited
2020Risk Quantification in Stochastic Simulation under Input Uncertainty37 cited
2020Uncertainty Quantification for Extreme Quantile Estimation With Stochastic Computer Models14 cited

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