collaborators

1 paper

q-fin.RM2026

Asymptotic Error Analysis of Multilevel Stochastic Approximations for the Value-at-Risk and Expected Shortfall

Stéphane Crépey, Noufel Frikha, Azar Louzi +1

Crépey, Frikha, and Louzi (2025) introduced a nested stochastic approximation algorithm and its multilevel acceleration to compute the value-at-risk and expected shortfall of a ra…