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    » Simulation of Coherent Risk Measures
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    WSC
    2007
    183views Modeling And Simulation» more  WSC 2007»
    Efficient Monte Carlo methods for convex risk measures in portfolio credit risk models
    13 years 8 months ago
    Efficient Monte Carlo methods for convex risk measures in portfolio credit risk models
    Download  www.informs-sim.org
    We discuss efficient Monte Carlo (MC) methods for the estimation of convex risk measures within the portfolio credit risk model CreditMetrics. Our focus lies on the Utilitybased ...
    Jörn Dunkel, Stefan Weber
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    IJAR
    2008
    140views more  IJAR 2008»
    Financial risk measurement with imprecise probabilities
    13 years 5 months ago
    Financial risk measurement with imprecise probabilities
    Download  imb.usu.ru
    Although financial risk measurement is a largely investigated research area, its relationship with imprecise probabilities has been mostly overlooked. However, risk measures can b...
    Paolo Vicig
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    MANSCI
    2008
    122views more  MANSCI 2008»
    Incorporating Asymmetric Distributional Information in Robust Value-at-Risk Optimization
    13 years 5 months ago
    Incorporating Asymmetric Distributional Information in Robust Value-at-Risk Optimization
    Download  faculty.babson.edu
    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....
    Karthik Natarajan, Dessislava Pachamanova, Melvyn ...
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    IJAR
    2010
    91views more  IJAR 2010»
    Inference and risk measurement with the pari-mutuel model
    13 years 4 months ago
    Inference and risk measurement with the pari-mutuel model
    Download  www.idsia.ch
    We explore generalizations of the pari-mutuel model (PMM), a formalization of an intuitive way of assessing an upper probability from a precise one. We discuss a naive extension o...
    Renato Pelessoni, Paolo Vicig, Marco Zaffalon
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    MANSCI
    2010
    87views more  MANSCI 2010»
    Nested Simulation in Portfolio Risk Measurement
    13 years 4 months ago
    Nested Simulation in Portfolio Risk Measurement
    Download  www.federalreserve.gov
    Michael B. Gordy, Sandeep Juneja
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