Conditional monte carlo estimation of quantile sensitivities

Management Science

Volumn 55, Issue 12, 2009, Pages 2019-2027

  Fu, Michael C ^a   Hong, L Jeff ^b   Hu, Jian Qiang ^c  

^a UNIVERSITY OF MARYLAND   (United States)

^b HONG KONG UNIVERSITY OF SCIENCE AND TECHNOLOGY   (Hong Kong)

^c FUDAN UNIVERSITY   (China)

Author keywords

Credit risk; Gradient estimation; Monte Carlo simulation; Quantiles; Value at risk

Indexed keywords

CHANCE CONSTRAINT; CONVERGENCE RATES; CREDIT RISKS; FINANCIAL ENGINEERING; GRADIENT ESTIMATION; INFINITESIMAL PERTURBATION ANALYSIS; KERNEL ESTIMATION; KERNEL ESTIMATORS; MONTE CARLO; MONTE CARLO SIMULATION; MONTE-CARLO ESTIMATION; PORTFOLIO CREDIT RISK; SERVICE LEVEL CONSTRAINT; VALUE AT RISK;

COMPUTER SIMULATION; MONTE CARLO METHODS; RISK ASSESSMENT; RISK PERCEPTION; VALUE ENGINEERING;

ESTIMATION;

EID: 72149124809     PISSN: 00251909     EISSN: 15265501     Source Type: Journal    
DOI: 10.1287/mnsc.1090.1090     Document Type: Article

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