Citation map · Study

SZodixStudyAcademic Library

Shelves Open access

Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated

Stochastic kriging for efficient nested simulation of expected shortfall

9 references·4 citing·38 second hop

FromToDepth

this work references cited by second hop

References

1989Design and Analysis of Computer Experiments6,958 cited
2003Monte Carlo Methods in Financial Engineering3,818 cited
2003The Design and Analysis of Computer Experiments2,204 cited
2002On the coherence of expected shortfall1,596 cited
2015Design and Analysis of Simulation Experiments356 cited
2007Design and Analysis of Simulation Experiments317 cited
2004Application-driven sequential designs for simulation experiments: Kriging metamodelling281 cited
2010Nested Simulation in Portfolio Risk Measurement180 cited
2004Estimating Percentiles of Uncertain Computer Code Outputs79 cited

Cited by

2014Monte Carlo Methods for Value-at-Risk and Conditional Value-at-Risk91 cited
2017Kernel Smoothing for Nested Estimation with Application to Portfolio Risk Measurement56 cited
2016Kriging of financial term-structures55 cited
2014Stochastic kriging with biased sample estimates44 cited

Only edges whose both ends are imported exist here. Widen the year window, or show the whole map. Back to the work