Estimating Quantile Sensitivities
From MaRDI portal
Publication:5188989
DOI10.1287/opre.1080.0531zbMath1181.91098OpenAlexW2092868272MaRDI QIDQ5188989
No author found.
Publication date: 6 March 2010
Published in: Operations Research (Search for Journal in Brave)
Full work available at URL: https://semanticscholar.org/paper/cb6b7ed0c22f7a581f417f04db35c1fd1b643490
Lua error in Module:PublicationMSCList at line 37: attempt to index local 'msc_result' (a nil value).
Related Items (33)
Euler allocations in the presence of nonlinear reinsurance: comment on Major (2018) ⋮ Risk contributions of lambda quantiles* ⋮ Reverse sensitivity testing: what does it take to break the model? ⋮ Technical Note—On Estimating Quantile Sensitivities via Infinitesimal Perturbation Analysis ⋮ A direct search method for unconstrained quantile-based simulation optimization ⋮ A Stochastic Approximation Method for Simulation-Based Quantile Optimization ⋮ Quantifying market risk with value-at-risk or expected shortfall? -- Consequences for capital requirements and model risk ⋮ Simulating Risk Contributions of Credit Portfolios ⋮ Nonparametric inference for sensitivity of Haezendonck–Goovaerts risk measure ⋮ Avoiding zero probability events when computing value at risk contributions ⋮ Computing Sensitivities for Distortion Risk Measures ⋮ A New Likelihood Ratio Method for Training Artificial Neural Networks ⋮ Interpreting deep learning models with marginal attribution by conditioning on quantiles ⋮ Estimating Sensitivities of Portfolio Credit Risk Using Monte Carlo ⋮ Variance comparison between infinitesimal perturbation analysis and likelihood ratio estimators to stochastic gradient ⋮ On kernel-based estimation of distribution function and its quantiles based on ranked set sampling ⋮ Gradient and Hessian of joint probability function with applications on chance-constrained programs ⋮ Sensitivity analysis of ranked data: from order statistics to quantiles ⋮ Efficient VaR and CVaR Measurement via Stochastic Kriging ⋮ Multivariate Insurance Portfolio Risk Retention Using the Method of Multipliers ⋮ Efficient algorithms for calculating risk measures and risk contributions in copula credit risk models ⋮ SENSITIVITY ANALYSIS OF NONLINEAR BEHAVIOR WITH DISTORTED PROBABILITY ⋮ Unnamed Item ⋮ Insurance Portfolio Risk Retention ⋮ Maximum Likelihood Estimation by Monte Carlo Simulation: Toward Data-Driven Stochastic Modeling ⋮ Sensitivity analysis with \(\chi^2\)-divergences ⋮ Applications of generalized likelihood ratio method to distribution sensitivities and steady-state simulation ⋮ Kernel estimation of quantile sensitivities ⋮ What you should know about simulation and derivatives ⋮ A Measure-Valued Differentiation Approach to Sensitivities of Quantiles ⋮ Sensitivity estimation of conditional value at risk using randomized quasi-Monte Carlo ⋮ Efficient Sampling Allocation Procedures for Optimal Quantile Selection ⋮ Monte Carlo Methods for Value-at-Risk and Conditional Value-at-Risk
This page was built for publication: Estimating Quantile Sensitivities