Liu Guangwu

Guangwu Liu

Information about the author Guangwu Liu will soon be added to the site.
Found 6 papers in total
Kernel Smoothing for Nested Estimation with Application to Portfolio Risk Measurement
Kernel Smoothing for Nested Estimation with Application to Portfolio Risk Measurement
2017
Nested estimation involves estimating an expectation of a function of a conditional...
Simulating Risk Contributions of Credit Portfolios
Simulating Risk Contributions of Credit Portfolios
2015
The 2007–2009 financial turmoil highlighted the need for more active management...
Kernel Estimation of the Greeks for Options with Discontinuous Payoffs
Kernel Estimation of the Greeks for Options with Discontinuous Payoffs
2011
The Greeks are the derivatives (also known as sensitivities) of the option prices with...
Pathwise estimation of probability sensitivities through terminating or steady-state simulations
Pathwise estimation of probability sensitivities through terminating or steady-state simulations
2010
A probability is the expectation of an indicator function. However, the standard...
Kernel estimation of quantile sensitivities
Kernel estimation of quantile sensitivities
2009
Quantiles, also known as value-at-risks in the financial industry, are important...
Simulating Sensitivities of Conditional Value at Risk
Simulating Sensitivities of Conditional Value at Risk
2009
Conditional value at risk (CVaR) is both a coherent risk measure and a natural risk...
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