{"id":"https://openalex.org/W4242790731","doi":"https://doi.org/10.1109/wsc.2012.6465096","title":"Stochastic kriging for conditional value-at-risk and its sensitivities","display_name":"Stochastic kriging for conditional value-at-risk and its sensitivities","publication_year":2012,"publication_date":"2012-12-01","ids":{"openalex":"https://openalex.org/W4242790731","doi":"https://doi.org/10.1109/wsc.2012.6465096"},"language":"en","primary_location":{"id":"doi:10.1109/wsc.2012.6465096","is_oa":false,"landing_page_url":"https://doi.org/10.1109/wsc.2012.6465096","pdf_url":null,"source":{"id":"https://openalex.org/S4363608782","display_name":"Proceedings Title: Proceedings of the 2012 Winter Simulation Conference (WSC)","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"host_organization":null,"host_organization_name":null,"host_organization_lineage":[],"host_organization_lineage_names":[],"type":"conference"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Proceedings Title: Proceedings of the 2012 Winter Simulation Conference (WSC)","raw_type":"proceedings-article"},"type":"article","indexed_in":["crossref"],"open_access":{"is_oa":false,"oa_status":"closed","oa_url":null,"any_repository_has_fulltext":false},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5100329867","display_name":"Xi Chen","orcid":"https://orcid.org/0000-0001-7965-9198"},"institutions":[],"countries":[],"is_corresponding":true,"raw_author_name":"Xi Chen","raw_affiliation_strings":["Dept. of Industrial Engineering & Management Sciences, Northwestern University, Evanston, IL, U.S.A"],"affiliations":[{"raw_affiliation_string":"Dept. of Industrial Engineering & Management Sciences, Northwestern University, Evanston, IL, U.S.A","institution_ids":[]}]},{"author_position":"middle","author":{"id":"https://openalex.org/A5026731126","display_name":"Barry L. Nelson","orcid":"https://orcid.org/0000-0002-1325-2624"},"institutions":[],"countries":[],"is_corresponding":false,"raw_author_name":"Barry L. Nelson","raw_affiliation_strings":["Dept. of Industrial Engineering & Management Sciences, Northwestern University, Evanston, IL, U.S.A"],"affiliations":[{"raw_affiliation_string":"Dept. of Industrial Engineering & Management Sciences, Northwestern University, Evanston, IL, U.S.A","institution_ids":[]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5069125648","display_name":"Kyoung-Kuk Kim","orcid":"https://orcid.org/0000-0002-9661-8707"},"institutions":[{"id":"https://openalex.org/I157485424","display_name":"Korea Advanced Institute of Science and Technology","ror":"https://ror.org/05apxxy63","country_code":"KR","type":"education","lineage":["https://openalex.org/I157485424"]}],"countries":["KR"],"is_corresponding":false,"raw_author_name":"Kyoung-Kuk Kim","raw_affiliation_strings":["Dept. of Industrial & Systems Engineering, KAIST, Daejeon, SOUTH KOREA"],"affiliations":[{"raw_affiliation_string":"Dept. of Industrial & Systems Engineering, KAIST, Daejeon, SOUTH KOREA","institution_ids":["https://openalex.org/I157485424"]}]}],"institutions":[],"countries_distinct_count":1,"institutions_distinct_count":3,"corresponding_author_ids":["https://openalex.org/A5100329867"],"corresponding_institution_ids":[],"apc_list":null,"apc_paid":null,"fwci":1.7936,"has_fulltext":false,"cited_by_count":7,"citation_normalized_percentile":{"value":0.8703939,"is_in_top_1_percent":false,"is_in_top_10_percent":false},"cited_by_percentile_year":{"min":89,"max":96},"biblio":{"volume":"12","issue":null,"first_page":"1","last_page":"12"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T11413","display_name":"Risk and Portfolio Optimization","score":0.998199999332428,"subfield":{"id":"https://openalex.org/subfields/1803","display_name":"Management Science and Operations Research"},"field":{"id":"https://openalex.org/fields/18","display_name":"Decision Sciences"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T11413","display_name":"Risk and Portfolio Optimization","score":0.998199999332428,"subfield":{"id":"https://openalex.org/subfields/1803","display_name":"Management Science and Operations Research"},"field":{"id":"https://openalex.org/fields/18","display_name":"Decision Sciences"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T11801","display_name":"Reservoir Engineering and Simulation Methods","score":0.9961000084877014,"subfield":{"id":"https://openalex.org/subfields/2212","display_name":"Ocean Engineering"},"field":{"id":"https://openalex.org/fields/22","display_name":"Engineering"},"domain":{"id":"https://openalex.org/domains/3","display_name":"Physical Sciences"}},{"id":"https://openalex.org/T10067","display_name":"Stochastic processes and financial applications","score":0.9807000160217285,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/expected-shortfall","display_name":"Expected shortfall","score":0.7718100547790527},{"id":"https://openalex.org/keywords/kriging","display_name":"Kriging","score":0.7692040205001831},{"id":"https://openalex.org/keywords/value-at-risk","display_name":"Value at risk","score":0.6979029178619385},{"id":"https://openalex.org/keywords/estimator","display_name":"Estimator","score":0.6640802621841431},{"id":"https://openalex.org/keywords/computer-science","display_name":"Computer science","score":0.5604709386825562},{"id":"https://openalex.org/keywords/portfolio","display_name":"Portfolio","score":0.540432870388031},{"id":"https://openalex.org/keywords/asset","display_name":"Asset (computer security)","score":0.4405604600906372},{"id":"https://openalex.org/keywords/estimation","display_name":"Estimation","score":0.439449667930603},{"id":"https://openalex.org/keywords/econometrics","display_name":"Econometrics","score":0.43152734637260437},{"id":"https://openalex.org/keywords/mathematical-optimization","display_name":"Mathematical optimization","score":0.42763757705688477},{"id":"https://openalex.org/keywords/risk-analysis","display_name":"Risk analysis (engineering)","score":0.3445425033569336},{"id":"https://openalex.org/keywords/risk-management","display_name":"Risk management","score":0.3413339853286743},{"id":"https://openalex.org/keywords/statistics","display_name":"Statistics","score":0.3073306083679199},{"id":"https://openalex.org/keywords/mathematics","display_name":"Mathematics","score":0.28990599513053894},{"id":"https://openalex.org/keywords/finance","display_name":"Finance","score":0.22626933455467224},{"id":"https://openalex.org/keywords/machine-learning","display_name":"Machine learning","score":0.12900862097740173},{"id":"https://openalex.org/keywords/engineering","display_name":"Engineering","score":0.11962801218032837},{"id":"https://openalex.org/keywords/economics","display_name":"Economics","score":0.0961572527885437}],"concepts":[{"id":"https://openalex.org/C5496284","wikidata":"https://www.wikidata.org/wiki/Q5420856","display_name":"Expected shortfall","level":3,"score":0.7718100547790527},{"id":"https://openalex.org/C81692654","wikidata":"https://www.wikidata.org/wiki/Q225926","display_name":"Kriging","level":2,"score":0.7692040205001831},{"id":"https://openalex.org/C94128290","wikidata":"https://www.wikidata.org/wiki/Q963287","display_name":"Value at risk","level":3,"score":0.6979029178619385},{"id":"https://openalex.org/C185429906","wikidata":"https://www.wikidata.org/wiki/Q1130160","display_name":"Estimator","level":2,"score":0.6640802621841431},{"id":"https://openalex.org/C41008148","wikidata":"https://www.wikidata.org/wiki/Q21198","display_name":"Computer science","level":0,"score":0.5604709386825562},{"id":"https://openalex.org/C2780821815","wikidata":"https://www.wikidata.org/wiki/Q5340806","display_name":"Portfolio","level":2,"score":0.540432870388031},{"id":"https://openalex.org/C76178495","wikidata":"https://www.wikidata.org/wiki/Q4808784","display_name":"Asset (computer security)","level":2,"score":0.4405604600906372},{"id":"https://openalex.org/C96250715","wikidata":"https://www.wikidata.org/wiki/Q965330","display_name":"Estimation","level":2,"score":0.439449667930603},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.43152734637260437},{"id":"https://openalex.org/C126255220","wikidata":"https://www.wikidata.org/wiki/Q141495","display_name":"Mathematical optimization","level":1,"score":0.42763757705688477},{"id":"https://openalex.org/C112930515","wikidata":"https://www.wikidata.org/wiki/Q4389547","display_name":"Risk analysis (engineering)","level":1,"score":0.3445425033569336},{"id":"https://openalex.org/C32896092","wikidata":"https://www.wikidata.org/wiki/Q189447","display_name":"Risk management","level":2,"score":0.3413339853286743},{"id":"https://openalex.org/C105795698","wikidata":"https://www.wikidata.org/wiki/Q12483","display_name":"Statistics","level":1,"score":0.3073306083679199},{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.28990599513053894},{"id":"https://openalex.org/C10138342","wikidata":"https://www.wikidata.org/wiki/Q43015","display_name":"Finance","level":1,"score":0.22626933455467224},{"id":"https://openalex.org/C119857082","wikidata":"https://www.wikidata.org/wiki/Q2539","display_name":"Machine learning","level":1,"score":0.12900862097740173},{"id":"https://openalex.org/C127413603","wikidata":"https://www.wikidata.org/wiki/Q11023","display_name":"Engineering","level":0,"score":0.11962801218032837},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.0961572527885437},{"id":"https://openalex.org/C71924100","wikidata":"https://www.wikidata.org/wiki/Q11190","display_name":"Medicine","level":0,"score":0.0},{"id":"https://openalex.org/C201995342","wikidata":"https://www.wikidata.org/wiki/Q682496","display_name":"Systems engineering","level":1,"score":0.0},{"id":"https://openalex.org/C38652104","wikidata":"https://www.wikidata.org/wiki/Q3510521","display_name":"Computer security","level":1,"score":0.0}],"mesh":[],"locations_count":2,"locations":[{"id":"doi:10.1109/wsc.2012.6465096","is_oa":false,"landing_page_url":"https://doi.org/10.1109/wsc.2012.6465096","pdf_url":null,"source":{"id":"https://openalex.org/S4363608782","display_name":"Proceedings Title: Proceedings of the 2012 Winter Simulation Conference (WSC)","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"host_organization":null,"host_organization_name":null,"host_organization_lineage":[],"host_organization_lineage_names":[],"type":"conference"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Proceedings Title: Proceedings of the 2012 Winter Simulation Conference (WSC)","raw_type":"proceedings-article"},{"id":"pmh:oai:CiteSeerX.psu:10.1.1.416.4611","is_oa":false,"landing_page_url":"http://citeseerx.ist.psu.edu/viewdoc/summary?doi=10.1.1.416.4611","pdf_url":null,"source":null,"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"http://www.informs-sim.org/wsc12papers/includes/files/con401.pdf","raw_type":"text"}],"best_oa_location":null,"sustainable_development_goals":[{"score":0.41999998688697815,"display_name":"Decent work and economic growth","id":"https://metadata.un.org/sdg/8"}],"awards":[],"funders":[],"has_content":{"grobid_xml":false,"pdf":false},"content_urls":null,"referenced_works_count":21,"referenced_works":["https://openalex.org/W1509040904","https://openalex.org/W1979748626","https://openalex.org/W2019291268","https://openalex.org/W2034107358","https://openalex.org/W2039605831","https://openalex.org/W2072636537","https://openalex.org/W2098626000","https://openalex.org/W2100298399","https://openalex.org/W2100851059","https://openalex.org/W2107828625","https://openalex.org/W2122272911","https://openalex.org/W2132527237","https://openalex.org/W2140079029","https://openalex.org/W2149540235","https://openalex.org/W2163286960","https://openalex.org/W2207023490","https://openalex.org/W2515210455","https://openalex.org/W3125471937","https://openalex.org/W4249991458","https://openalex.org/W4250114020","https://openalex.org/W6674582482"],"related_works":["https://openalex.org/W3126123222","https://openalex.org/W799577184","https://openalex.org/W3125560610","https://openalex.org/W2063070827","https://openalex.org/W4301377905","https://openalex.org/W3122839946","https://openalex.org/W3149677656","https://openalex.org/W2381915135","https://openalex.org/W353195886","https://openalex.org/W2597152280"],"abstract_inverted_index":{"Measuring":[0],"risks":[1,82],"in":[2,12,95,137],"asset":[3],"portfolios":[4],"has":[5],"been":[6,38],"one":[7],"of":[8,19,47,81,93,105,116,140],"the":[9,13,17,45,59,100,106,117,128,132,138],"central":[10],"topics":[11],"financial":[14,48,141],"industry.":[15],"Since":[16],"introduction":[18],"coherent":[20],"risk":[21,25,66,107],"measures,":[22],"studies":[23],"on":[24],"measurement":[26],"have":[27,37],"flourished":[28],"and":[29,42,54,83,98],"measures":[30],"beyond":[31],"value-at-risk,":[32],"such":[33],"as":[34],"expected":[35],"shortfall,":[36],"adopted":[39],"by":[40],"academics":[41],"practitioners.":[43],"However,":[44],"complexity":[46],"products":[49],"makes":[50],"it":[51],"very":[52],"difficult":[53],"time":[55],"consuming":[56],"to":[57,63],"perform":[58],"numerical":[60],"tasks":[61],"necessary":[62],"compute":[64],"these":[65],"measures.":[67],"In":[68,86],"this":[69,88],"paper,":[70],"we":[71],"introduce":[72],"a":[73,96],"stochastic":[74,123],"kriging":[75,124],"metamodel-based":[76],"method":[77,89,119,134],"for":[78],"efficient":[79],"estimation":[80,139],"their":[84],"sensitivities.":[85],"particular,":[87],"uses":[90],"gradient":[91],"estimators":[92],"assets":[94],"portfolio":[97],"gives":[99],"best":[101],"linear":[102],"unbiased":[103],"predictor":[104],"sensitivities":[108],"with":[109,120],"minimum":[110],"mean":[111],"squared":[112],"error.":[113],"Numerical":[114],"comparisons":[115],"proposed":[118,133],"two":[121],"other":[122],"based":[125],"approaches":[126],"demonstrate":[127],"promising":[129],"role":[130],"that":[131],"can":[135],"play":[136],"risk.":[142]},"counts_by_year":[{"year":2023,"cited_by_count":1},{"year":2020,"cited_by_count":2},{"year":2016,"cited_by_count":1},{"year":2015,"cited_by_count":1},{"year":2013,"cited_by_count":2}],"updated_date":"2025-11-06T03:46:38.306776","created_date":"2025-10-10T00:00:00"}
