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- W3125560610 abstract "The (marginal) risk contribution is very useful for analyzing the concentration risk in a portfolio. However, it is difficult to estimate the risk contributions for value-at-risk (VaR) and expected shortfall (ES) precisely, especially using a Monte Carlo simulation. We applied a saddlepoint approximation to estimate the distribution function, so that the difficulty of estimating the risk contributions for VaR was dissolved. In this paper, we propose new estimation methods for ES and the risk contributions for ES based on the conditional independence and a saddlepoint approximation. Numerical studies confirm that these new methods are much better than existing ones." @default.
- W3125560610 created "2021-02-01" @default.
- W3125560610 creator A5060600216 @default.
- W3125560610 date "2015-06-01" @default.
- W3125560610 modified "2023-09-26" @default.
- W3125560610 title "Improved estimation methods for value-at-risk, expected shortfall and risk contributions with high precision" @default.
- W3125560610 doi "https://doi.org/10.21314/jor.2015.314" @default.
- W3125560610 hasPublicationYear "2015" @default.
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