Expected shortfall computation with multiple control variates-Reference-Cited by-同舟云学术

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Expected shortfall computation with multiple control variates

Published:2020-05 Issue: Volume:373 Page:125018
ISSN:0096-3003
Container-title:Applied Mathematics and Computation
language:en
Short-container-title:Applied Mathematics and Computation

Author:

Ortiz-Gracia Luis

Publisher

Elsevier BV

Subject

Applied Mathematics,Computational Mathematics

Reference23 articles.

1. Coherent measures of risk;Artzner;Math. Finance,1999

2. Basel committee on banking supervision;Bank for International Settlements,2012

3. Basel committee on banking supervision;Bank for International Settlements,2013

4. Basel committee on banking supervision;Bank for International Settlements,2016

5. Algorithms for Minimization without Derivatives;Brent,1973

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