33 citations · 35 across the 13 of their papers we have counts for
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q-fin.RM2021
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…
stat.ML2021★ 2 cited
Achieving Efficiency in Black Box Simulation of Distribution Tails with Self-structuring Importance Samplers
Anand Deo, Karthyek Murthy
This paper presents a novel Importance Sampling (IS) scheme for estimating distribution tails of performance measures modeled with a rich set of tools such as linear programs, inte…