2 search results - page 1 / 1 » Stochastic Root Finding and Efficient Estimation of Convex R... |
IOR
2010
13 years 1 months ago
2010
Reliable risk measurement is a key problem for financial institutions and regulatory authorities. The current industry standard Value-at-Risk has several deficiencies. Improved ri...
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...