9 citations · 18 across the 13 of their papers we have counts for
Showing 2015Show all
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q-fin.RM2015★ 1 cited
Wrong-Way Bounds in Counterparty Credit Risk Management
Amir Memartoluie, David Saunders, Tony Wirjanto
We study the problem of finding the worst-case joint distribution of a set of risk factors given prescribed multivariate marginals and a nonlinear loss function. We show that when…
q-fin.RM2015★ 4 cited
Improved Algorithms for Computing Worst Value-at-Risk: Numerical Challenges and the Adaptive Rearrangement Algorithm
Marius Hofert, Amir Memartoluie, David Saunders +1
Numerical challenges inherent in algorithms for computing worst Value-at-Risk in homogeneous portfolios are identified and solutions as well as words of warning concerning their im…
math.ST2015
Stationarity as a Path Property with Applications in Time Series Analysis
Yi Shen, Tony S. Wirjanto
Traditionally stationarity refers to shift invariance of the distribution of a stochastic process. In this paper, we rediscover stationarity as a path property instead of a distrib…