2 papers
q-fin.RM2024
Efficient Nested Estimation of CoVaR: A Decoupled Approach
Nifei Lin, Yingda Song, L. Jeff Hong
This paper addresses the estimation of the systemic risk measure known as CoVaR, which quantifies the risk of a financial portfolio conditional on another portfolio being at risk.…
stat.ME2024
Fast Discrete-Event Simulation of Markovian Queueing Networks through Euler Approximation
L. Jeff Hong, Yingda Song, Tan Wang
The efficient management of large-scale queueing networks is critical for a variety of sectors, including healthcare, logistics, and customer service, where system performance has…