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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.…
q-fin.RM2022★ 1 cited
Monte-Carlo Estimation of CoVaR
Weihuan Huang, Nifei Lin, L. Jeff Hong
is one of the most important measures of financial systemic risks. It is defined as the risk of a financial portfolio conditional on another financial portfolio being…