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Nested Simulation in Portfolio Risk Measurement
6 references·16 citing·34 second hop
Nested Simulation in Portfolio Risk Measurement (2010)Nested Simulation in Portfolio Risk Measu…Monte Carlo Methods in Financial Engineering (2003)Monte Carlo Methods in Financ…On the coherence of expected shortfall (2002)On the coherence of expected …Valuing American Options by Simulation: A Simple Least-Squares Approach (2001)Valuing American Options by S…Sensitivity analysis of Values at Risk (2000)Sensitivity analysis of Value…Coherent Measures of Risk (1999)Coherent Measures of RiskThe Asymptotic Efficiency of Simulation Estimators (1992)The Asymptotic Efficiency of …Risk Quantification in Stochastic Simulation under Input Uncertainty (2020)Risk Quantification in Stocha…Deep xVA Solver – A Neural Network Based Counterparty Credit Risk Management Framework (2020)Deep xVA Solver – A Neural Ne…Multilevel Nested Simulation for Efficient Risk Estimation (2019)Multilevel Nested Simulation …Estimating Value-at-Risk and Expected Shortfall using the intraday low and range data (2019)Estimating Value-at-Risk and …Granularity Adjustment for Regulatory Capital Assessment (2018)Granularity Adjustment for Re…Multilevel Richardson–Romberg extrapolation (2017)Multilevel Richardson–Romberg…Kernel Smoothing for Nested Estimation with Application to Portfolio Risk Measurement (2017)Kernel Smoothing for Nested E…The Marginal Cost of Risk, Risk Measures, and Capital Allocation (2015)The Marginal Cost of Risk, Ri…Risk Estimation via Regression (2015)Risk Estimation via RegressionStochastic kriging with biased sample estimates (2014)Stochastic kriging with biase…Monte Carlo Methods for Value-at-Risk and Conditional Value-at-Risk (2014)Monte Carlo Methods for Value…On the Calculation of the Solvency Capital Requirement Based on Nested Simulations (2012)On the Calculation of the Sol…Efficient Risk Estimation via Nested Sequential Simulation (2011)Efficient Risk Estimation via…Efficient Nested Simulation for Estimating the Variance of a Conditional Expectation (2011)Efficient Nested Simulation f…Stochastic kriging for efficient nested simulation of expected shortfall (2010)Stochastic kriging for effici…A Confidence Interval Procedure for Expected Shortfall Risk Measurement via Two-Level Simulation (2010)A Confidence Interval Procedu…Modelling of extremal events in insurance and finance (1994)The Effects of a Low Interest Rate Environment on Life Insurers (2015)A Spatial Interpolation Framework for Efficient Valuation of Large Portfolios of Variable Annuities (2017)Optimization of conditional value-at-risk (2000)Conditional value-at-risk for general loss distributions (2002)Risk and complexity in scenario optimization (2019)Portfolio Selection (1952)Safety First and the Holding of Assets (1952)Coherent allocation of risk capital (2001)Expected shortfall and beyond (2002)Actuarial Theory for Dependent Risks: Measures, Orders and Models (2005)The Pricing of Options and Corporate Liabilities (1973)Theory of Rational Option Pricing (1973)Regression methods for pricing complex American-style options (2001)New frontiers for arch models (2002)Option Pricing Under a Double Exponential Jump Diffusion Model (2004)Theory of rational option pricing (2005)A Stochastic Approximation Method (1951)Stochastic Estimation of the Maximum of a Regression Function (1952)The Asymptotic Validity of Sequential Stopping Rules for Stochastic Simulations (1992)The variation of certain speculative prices (1997)Chapter 11 Rare-Event Simulation Techniques: An Introduction and Recent Advances (2006)Unbiased Estimation with Square Root Convergence for SDE Models (2015)Quantitative Risk Management: Concepts, Techniques, and Tools (2005)The Risk Map: A new tool for validating risk models (2013)Lectures on Stochastic Programming: Modeling and Theory (2009)Financial Network Connectedness and Systemic Risk During the COVID-19 Pandemic (2021)Multilevel Monte Carlo Path Simulation (2008)Can Time‐Varying Risk of Rare Disasters Explain Aggregate Stock Market Volatility? (2013)Simulation Modeling and Analysis (2016)Modeling and Forecasting Realized Volatility (2003)Theory and Applications of Robust Optimization (2010)Spectral measures of risk: A coherent representation of subjective risk aversion (2002)Quantitative Risk Management (2011)
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References

  • 1999Coherent Measures of Risk8,849 cited
  • 2003Monte Carlo Methods in Financial Engineering3,818 cited
  • 2001Valuing American Options by Simulation: A Simple Least-Squares Approach3,218 cited
  • 2002On the coherence of expected shortfall1,596 cited
  • 2000Sensitivity analysis of Values at Risk400 cited
  • 1992The Asymptotic Efficiency of Simulation Estimators215 cited

Cited by

  • 2011Efficient Risk Estimation via Nested Sequential Simulation109 cited
  • 2015Risk Estimation via Regression94 cited
  • 2014Monte Carlo Methods for Value-at-Risk and Conditional Value-at-Risk91 cited
  • 2012On the Calculation of the Solvency Capital Requirement Based on Nested Simulations84 cited
  • 2010Stochastic kriging for efficient nested simulation of expected shortfall76 cited
  • 2011Efficient Nested Simulation for Estimating the Variance of a Conditional Expectation65 cited
  • 2010A Confidence Interval Procedure for Expected Shortfall Risk Measurement via Two-Level Simulation58 cited
  • 2018Granularity Adjustment for Regulatory Capital Assessment57 cited
  • 2017Kernel Smoothing for Nested Estimation with Application to Portfolio Risk Measurement

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56 cited
  • 2019Estimating Value-at-Risk and Expected Shortfall using the intraday low and range data54 cited
  • 2020Deep xVA Solver – A Neural Network Based Counterparty Credit Risk Management Framework49 cited
  • 2017Multilevel Richardson–Romberg extrapolation48 cited
  • 2015The Marginal Cost of Risk, Risk Measures, and Capital Allocation44 cited
  • 2014Stochastic kriging with biased sample estimates44 cited
  • 2019Multilevel Nested Simulation for Efficient Risk Estimation38 cited
  • 2020Risk Quantification in Stochastic Simulation under Input Uncertainty37 cited