Conditional Monte Carlo Estimation of Quantile Sensitivities
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DOI: 10.1287/mnsc.1090.1090
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References listed on IDEAS
- L. Jeff Hong, 2009. "Estimating Quantile Sensitivities," Operations Research, INFORMS, vol. 57(1), pages 118-130, February.
- Achal Bassamboo & Sandeep Juneja & Assaf Zeevi, 2008. "Portfolio Credit Risk with Extremal Dependence: Asymptotic Analysis and Efficient Simulation," Operations Research, INFORMS, vol. 56(3), pages 593-606, June.
- L. Jeff Hong & Guangwu Liu, 2009. "Simulating Sensitivities of Conditional Value at Risk," Management Science, INFORMS, vol. 55(2), pages 281-293, February.
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Keywords
quantiles; value at risk; credit risk; Monte Carlo simulation; gradient estimation;All these keywords.
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