4 citations · 5 across the 2 of their papers we have counts for
2 papers
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…