Risk Estimation via Regression
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Publication:2795869
DOI10.1287/opre.2015.1419zbMath1347.91235OpenAlexW2207023490MaRDI QIDQ2795869
Yiping du, Ciamac Cyrus Moallemi, Mark N. Broadie
Publication date: 22 March 2016
Published in: Operations Research (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1287/opre.2015.1419
Nonparametric regression and quantile regression (62G08) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Monte Carlo methods (65C05)
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Cites Work
- Efficient Nested Simulation for Estimating the Variance of a Conditional Expectation
- A Confidence Interval Procedure for Expected Shortfall Risk Measurement via Two-Level Simulation
- Variance Reduction Techniques for Estimating Value-at-Risk
- Nested Simulation in Portfolio Risk Measurement
- Lectures on Stochastic Programming
- Non-Linear Value-at-Risk *
- Computing the distribution function of a conditional expectation via monte carlo
- Efficient Risk Estimation via Nested Sequential Simulation
- Analytical value-at-risk with jumps and credit risk
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