90 search results - page 4 / 18 » Simulation of Coherent Risk Measures |
IOR
2008
13 years 7 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...
JSAC
2008
13 years 7 months ago
2008
In-situ measurements of the scattering function are used to drive a channel simulator developed in the context of underwater acoustic telemetry. Two operation modes of the simulato...
WSC
2000
13 years 8 months ago
2000
This paper deals with estimating small tail probabilities of the steady-state waiting time in a GI/GI/1 queue with heavy-tailed (subexponential) service times. The problem of esti...
IOR
2008
13 years 7 months ago
2008
We consider the risk of a portfolio comprised of loans, bonds, and financial instruments that are subject to possible default. In particular, we are interested in performance meas...
MP
2008
13 years 7 months ago
2008
In this paper we discuss computational complexity and risk averse approaches to two and multistage stochastic programming problems. We argue that two stage (say linear) stochastic ...