4 papers
Efficient Black-Box Importance Sampling for VaR and CVaR Estimation
Anand Deo, Karthyek Murthy
This paper considers Importance Sampling (IS) for the estimation of tail risks of a loss defined in terms of a sophisticated object such as a machine learning feature map or a mixe…
Optimizing tail risks using an importance sampling based extrapolation for heavy-tailed objectives
Anand Deo, Karthyek Murthy
Motivated by the prominence of Conditional Value-at-Risk (CVaR) as a measure for tail risk in settings affected by uncertainty, we develop a new formula for approximating CVaR base…
City-Scale Agent-Based Simulators for the Study of Non-Pharmaceutical Interventions in the Context of the COVID-19 Epidemic
Shubhada Agrawal, Siddharth Bhandari, Anirban Bhattacharjee +14
We highlight the usefulness of city-scale agent-based simulators in studying various non-pharmaceutical interventions to manage an evolving pandemic. We ground our studies in the c…
Credit Risk: Simple Closed Form Approximate Maximum Likelihood Estimator
Anand Deo, Sandeep Juneja
We consider discrete default intensity based and logit type reduced form models for conditional default probabilities for corporate loans where we develop simple closed form approx…