We use stochastic kriging, a metamodeling technique, to speed up nested simulation of expected shortfall, a portfolio risk measure. Evaluating a risk measure of a portfolio that includes derivative ...

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This course is available on the BSc in Business Mathematics and Statistics, BSc in Management and BSc in Statistics with Finance. This course is available as an outside option to students on other ...

Risk management is an important discipline in the corporate sphere. If done properly, it can propel a well-run company pas what anyone imagined. The face of risk management changed forever after the ...