Asymptotic representations for importance-sampling estimators of value-at-risk and conditional value-at-risk
type: Item
instance of: scholarly article
title: Asymptotic representations for importance-sampling estimators of value-at-risk and conditional value-at-risk
zbMATH Open document ID: 1193.91165
author: Li Hua Sun
author: L. Jeff Hong
published in: Operations Research Letters
publication date: 2010-09-07T00:00:00Z
Mathematics Subject Classification ID: 91G60
Mathematics Subject Classification ID: 91B30
Mathematics Subject Classification ID: 62G20
Mathematics Subject Classification ID: 65C05
Mathematics Subject Classification ID: 62P05
zbMATH DE Number: 5780097
zbMATH Keywords: value-at-risk
zbMATH Keywords: conditional value-at-risk
zbMATH Keywords: importance sampling
zbMATH Keywords: asymptotic representation
MaRDI profile type: Publication
full work available at URL: j.orl.2010.02.007
OpenAlex ID: W1979348268
cites work: A Note on Quantiles in Large Samples
cites work: Q3059475
cites work: Variance Reduction Techniques for Estimating Value-at-Risk
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cites work: Uniformly Efficient Importance Sampling for the Tail Distribution of Sums of Random Variables
cites work: Importance Sampling for Portfolio Credit Risk
cites work: Simulating Sensitivities of Conditional Value at Risk
cites work: On the subspaces of \(L^p\) \((p > 2)\) spanned by sequences of independent random variables
cites work: Q3857500
cites work: Q4115333
DOI: 10.1016/J.ORL.2010.02.007
description: scientific article; zbMATH DE number 5780097