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q-fin.RM2023
Importance Sampling for Minimization of Tail Risks: A Tutorial
Anand Deo, Karthyek Murthy
This paper provides an introductory overview of how one may employ importance sampling effectively as a tool for solving stochastic optimization formulations incorporating tail ris…
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…