A New Variance Reduction Technique for Estimating Value-at-Risk

DOI10.1080/1350486X.2014.962182zbMath1396.91802OpenAlexW2010899721MaRDI QIDQ4682473

Mykhailo Pupashenko, Ralf Korn

Publication date: 18 September 2018

Published in: Applied Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/1350486x.2014.962182

zbMATH Keywords

importance samplingMonte Carlo simulationvariance reductionvalue-at-riskstratified sampling

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Statistical methods; risk measures (91G70) Monte Carlo methods (65C05)

Related Items (1)

MLMC for Nested Expectations

Uses Software

• UNU.RAN
• Dowd

Cites Work

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• Improved cross-entropy method for estimation
• Asymptotically Optimal Importance Sampling and Stratification for Pricing Path-Dependent Options
• Variance Reduction Techniques for Estimating Value-at-Risk
• Portfolio Value-at-Risk with Heavy-Tailed Risk Factors
• Monte Carlo Methods and Models in Finance and Insurance
• Simulation and the Monte Carlo Method

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