no code implementations • 28 Oct 2023 • Weihuan Huang
In the second step, we employ a kernel method to estimate the conditional quantile conditional on the order statistics.
no code implementations • 12 Oct 2022 • Weihuan Huang, Nifei Lin, L. Jeff Hong
We then develop an importance-sampling inspired estimator under the delta-gamma approximations to the portfolio losses, and we show that the rate of convergence of the estimator is $n^{-1/2}$.
