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A multilevel stochastic approximation algorithm for value-at-risk and expected shortfall estimation

Stéphane Crépey et al.

Finance and Stochastics2025https://doi.org/10.1007/s00780-025-00573-5article
AJG 3ABDC A
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0.50

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https://doi.org/https://doi.org/10.1007/s00780-025-00573-5

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@article{stéphane2025,
  title        = {{A multilevel stochastic approximation algorithm for value-at-risk and expected shortfall estimation}},
  author       = {Stéphane Crépey et al.},
  journal      = {Finance and Stochastics},
  year         = {2025},
  doi          = {https://doi.org/https://doi.org/10.1007/s00780-025-00573-5},
}

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A multilevel stochastic approximation algorithm for value-at-risk and expected shortfall estimation

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Evidence weight

0.50

Balanced mode · F 0.40 / M 0.15 / V 0.05 / R 0.40

F · citation impact0.50 × 0.4 = 0.20
M · momentum0.50 × 0.15 = 0.07
V · venue signal0.50 × 0.05 = 0.03
R · text relevance †0.50 × 0.4 = 0.20

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