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European journal of operational research : EJOR
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Kernel quantile estimators for nested simulation with application to portfolio value-at-risk measurement
Liu, Xiaoyu
;
Yan, Xing
;
Zhang, Kun
- In:
European journal of operational research : EJOR
312
(
2024
)
3
,
pp. 1168-1177
Persistent link: https://www.econbiz.de/10014456483
Saved in:
2
Sensitivity estimation of conditional value at risk using randomized quasi-Monte Carlo
He, Zhijian
- In:
European journal of operational research : EJOR
298
(
2022
)
1
,
pp. 229-242
Persistent link: https://www.econbiz.de/10013206837
Saved in:
3
Estimation of value-at-risk for conduct risk losses using pseudo-marginal Markov chain Monte Carlo
Mitic, Peter
;
Hu, Jiaqi
- In:
The journal of operational risk
14
(
2019
)
4
,
pp. 1-42
Persistent link: https://www.econbiz.de/10012157425
Saved in:
4
Fat tails, expected shortfall and the Monte Carlo method : a note
Brunner, Michael
;
Piacenza, Fabio
;
Monti, Fabio
; …
- In:
The journal of operational risk
4
(
2009/10
)
1
,
pp. 81-88
Persistent link: https://www.econbiz.de/10003848819
Saved in:
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