2 papers
stat.ME2019
Simulation-based Value-at-Risk for Nonlinear Portfolios
Junyao Chen, Tony Sit, Hoi Ying Wong
Value-at-risk (VaR) has been playing the role of a standard risk measure since its introduction. In practice, the delta-normal approach is usually adopted to approximate the VaR of…
stat.ME2018
Event History Analysis of Dynamic Communication Networks
Tony Sit, Zhiliang Ying, Yi Yu
Statistical analysis on networks has received growing attention due to demand from various emerging applications. In dynamic networks, one of the key interests is to model the even…