英文标题：
《Improved Algorithms for Computing Worst Value-at-Risk: Numerical
Challenges and the Adaptive Rearrangement Algorithm》
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作者：
Marius Hofert, Amir Memartoluie, David Saunders, Tony Wirjanto
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最新提交年份：
2015
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英文摘要：
Numerical challenges inherent in algorithms for computing worst Value-at-Risk in homogeneous portfolios are identified and solutions as well as words of warning concerning their implementation are provided. Furthermore, both conceptual and computational improvements to the Rearrangement Algorithm for approximating worst Value-at-Risk for portfolios with arbitrary marginal loss distributions are given. In particular, a novel Adaptive Rearrangement Algorithm is introduced and investigated. These algorithms are implemented using the R package qrmtools.
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中文摘要：
确定了计算同质投资组合中最差风险价值的算法所固有的数值挑战，并提供了有关其实现的解决方案和警告。此外，本文还对重排算法进行了概念和计算上的改进，以逼近具有任意边际损失分布的投资组合的最坏风险值。特别地，本文介绍并研究了一种新的自适应重排算法。这些算法是使用R包qrmtools实现的。
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分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Risk Management 风险管理
分类描述：Measurement and management of financial risks in trading, banking, insurance, corporate and other applications
衡量和管理贸易、银行、保险、企业和其他应用中的金融风险
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