14 search results - page 2 / 3 » Optimizing portfolio tail measures: Asymptotics and efficien... |
IOR
2008
13 years 4 months ago
2008
This paper develops rare event simulation methods for the estimation of portfolio credit risk -- the risk of losses to a portfolio resulting from defaults of assets in the portfol...
WSC
2008
13 years 6 months ago
2008
We are interested in computing tail probabilities for the maxima of Gaussian random fields. In this paper, we discuss two special cases: random fields defined over a finite number...
MANSCI
2008
13 years 4 months ago
2008
Value-at-Risk (VaR) is one of the most widely accepted risk measures in the financial and insurance industries, yet efficient optimization of VaR remains a very difficult problem....
TOMACS
2002
13 years 4 months ago
2002
Consider the problem of estimating the small probability that the maximum of a random walk exceeds a large threshold, when the process has a negative drift and the underlying rand...
WSC
2007
13 years 6 months ago
2007
Much of the rare-event simulation literature is concerned with the development of asymptotically optimal algorithms. Because of the difficulties associated with applying these id...