Avoiding zero probability events when computing Value at Risk contributions

28 April 2020

Papers citing "Avoiding zero probability events when computing Value at Risk contributions"

2 / 2 papers shown

Title
A Spectral Approach to Gradient Estimation for Implicit Distributions Jiaxin Shi Shengyang Sun Jun Zhu 35 90 0 07 Jun 2018
Sequential Monte Carlo Samplers for capital allocation under copula-dependent risk models Rodrigo S. Targino G. Peters P. Shevchenko 42 28 0 05 Oct 2014