Computation of Expected Shortfall by fast detection of worst scenarios

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Date
2020-05Publisher city
ParisPublisher
Cahier de recherche CEREMADELink to item file
https://hal.archives-ouvertes.fr/hal-02619589Dewey
Economie financièreSujet
ranking and selection; sequential design; Expected Shortfall; Bayesian filterJEL code
G.G0.G00Collections
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Bouchard, Bruno
60 CEntre de REcherches en MAthématiques de la DEcision [CEREMADE]
Reghai, Adil
472261 Natixis Asset Management
Virrion, Benjamin
60 CEntre de REcherches en MAthématiques de la DEcision [CEREMADE]