4 papers
Efficient Monte Carlo Valuation of Corporate Bonds in Financial Networks
Dohyun Ahn, Agostino Capponi
Valuing corporate bonds in systemic economies is challenging due to intricate webs of inter-institutional exposures. When a bank defaults, cascading losses propagate through the ne…
Wasserstein Distributionally Robust Rare-Event Simulation
Dohyun Ahn, Huiyi Chen, Lewen Zheng
Standard rare-event simulation techniques require exact distributional specifications, which limits their effectiveness in the presence of distributional uncertainty. To address th…
On the Optimality of Tracking Fisher Information in Adaptive Testing with Stochastic Binary Responses
Sanghwa Kim, Dohyun Ahn, Seungki Min
We study the problem of estimating a continuous ability parameter from sequential binary responses by actively asking questions with varying difficulties, a setting that arises nat…
Data-Driven Sequential Sampling for Tail Risk Mitigation
Dohyun Ahn, Taeho Kim
Given a finite collection of stochastic alternatives, we study the problem of sequentially allocating a fixed sampling budget to identify the optimal alternative with a high probab…