Achieving efficiency in black-box simulation of distribution tails with self-structuring importance samplers
Anand Deo, Karthyek Murthy
| Year of publication: |
2025
|
|---|---|
| Authors: | Deo, Anand ; Murthy, Karthyek |
| Published in: |
Operations research. - Linthicum, Md. : INFORMS, ISSN 1526-5463, ZDB-ID 2019440-7. - Vol. 73.2025, 1, p. 325-343
|
| Subject: | Simulation | importance sampling | conditional value-at-risk | contextual models | log efficient | portfolio credit risk | rare event simulation | tail risks | value-at-risk | variance reduction | Risikomaß | Risk measure | Kreditrisiko | Credit risk | Portfolio-Management | Portfolio selection | Theorie | Theory | Monte-Carlo-Simulation | Monte Carlo simulation | Statistische Verteilung | Statistical distribution | Stichprobenerhebung | Sampling | Risikomanagement | Risk management |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1287/opre.2021.0331 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10015445304