{"id":"https://openalex.org/W4253416483","doi":"https://doi.org/10.1109/wsc.2018.8632308","title":"MONTE CARLO ESTIMATION OF ECONOMIC CAPITAL","display_name":"MONTE CARLO ESTIMATION OF ECONOMIC CAPITAL","publication_year":2018,"publication_date":"2018-12-01","ids":{"openalex":"https://openalex.org/W4253416483","doi":"https://doi.org/10.1109/wsc.2018.8632308"},"language":"en","primary_location":{"id":"doi:10.1109/wsc.2018.8632308","is_oa":false,"landing_page_url":"https://doi.org/10.1109/wsc.2018.8632308","pdf_url":null,"source":{"id":"https://openalex.org/S4363607834","display_name":"2018 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":"2018 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/A5091863156","display_name":"Zachary T. Kaplan","orcid":"https://orcid.org/0009-0003-2062-8903"},"institutions":[{"id":"https://openalex.org/I118118575","display_name":"New Jersey Institute of Technology","ror":"https://ror.org/05e74xb87","country_code":"US","type":"education","lineage":["https://openalex.org/I118118575"]}],"countries":["US"],"is_corresponding":true,"raw_author_name":"Zachary T. Kaplan","raw_affiliation_strings":["Computer Science Department, New Jersey Institute of Technology, Newark, NJ, USA"],"affiliations":[{"raw_affiliation_string":"Computer Science Department, New Jersey Institute of Technology, Newark, NJ, USA","institution_ids":["https://openalex.org/I118118575"]}]},{"author_position":"middle","author":{"id":"https://openalex.org/A5100678451","display_name":"Yajuan Li","orcid":"https://orcid.org/0000-0003-3153-7006"},"institutions":[{"id":"https://openalex.org/I118118575","display_name":"New Jersey Institute of Technology","ror":"https://ror.org/05e74xb87","country_code":"US","type":"education","lineage":["https://openalex.org/I118118575"]}],"countries":["US"],"is_corresponding":false,"raw_author_name":"Yajuan Li","raw_affiliation_strings":["Computer Science Department, New Jersey Institute of Technology, Newark, NJ, USA"],"affiliations":[{"raw_affiliation_string":"Computer Science Department, New Jersey Institute of Technology, Newark, NJ, USA","institution_ids":["https://openalex.org/I118118575"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5001888075","display_name":"Marvin K. Nakayama","orcid":"https://orcid.org/0000-0003-1503-373X"},"institutions":[{"id":"https://openalex.org/I118118575","display_name":"New Jersey Institute of Technology","ror":"https://ror.org/05e74xb87","country_code":"US","type":"education","lineage":["https://openalex.org/I118118575"]}],"countries":["US"],"is_corresponding":false,"raw_author_name":"Marvin K. Nakayama","raw_affiliation_strings":["Computer Science Department, New Jersey Institute of Technology, Newark, NJ, USA"],"affiliations":[{"raw_affiliation_string":"Computer Science Department, New Jersey Institute of Technology, Newark, NJ, USA","institution_ids":["https://openalex.org/I118118575"]}]}],"institutions":[],"countries_distinct_count":1,"institutions_distinct_count":3,"corresponding_author_ids":["https://openalex.org/A5091863156"],"corresponding_institution_ids":["https://openalex.org/I118118575"],"apc_list":null,"apc_paid":null,"fwci":0.0,"has_fulltext":false,"cited_by_count":0,"citation_normalized_percentile":{"value":0.48930481,"is_in_top_1_percent":false,"is_in_top_10_percent":false},"cited_by_percentile_year":null,"biblio":{"volume":null,"issue":null,"first_page":"1754","last_page":"1765"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T11720","display_name":"Probability and Risk Models","score":0.9150000214576721,"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/T11720","display_name":"Probability and Risk Models","score":0.9150000214576721,"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/T12011","display_name":"Insurance, Mortality, Demography, Risk Management","score":0.9060999751091003,"subfield":{"id":"https://openalex.org/subfields/3317","display_name":"Demography"},"field":{"id":"https://openalex.org/fields/33","display_name":"Social Sciences"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/quantile","display_name":"Quantile","score":0.79957515001297},{"id":"https://openalex.org/keywords/estimator","display_name":"Estimator","score":0.7887648344039917},{"id":"https://openalex.org/keywords/monte-carlo-method","display_name":"Monte Carlo method","score":0.6953293681144714},{"id":"https://openalex.org/keywords/measure","display_name":"Measure (data warehouse)","score":0.5325649380683899},{"id":"https://openalex.org/keywords/importance-sampling","display_name":"Importance sampling","score":0.5266547203063965},{"id":"https://openalex.org/keywords/variance-reduction","display_name":"Variance reduction","score":0.4759809076786041},{"id":"https://openalex.org/keywords/econometrics","display_name":"Econometrics","score":0.44295862317085266},{"id":"https://openalex.org/keywords/portfolio","display_name":"Portfolio","score":0.4395495355129242},{"id":"https://openalex.org/keywords/expected-shortfall","display_name":"Expected shortfall","score":0.4344819188117981},{"id":"https://openalex.org/keywords/mathematics","display_name":"Mathematics","score":0.4291263222694397},{"id":"https://openalex.org/keywords/limit","display_name":"Limit (mathematics)","score":0.4247784912586212},{"id":"https://openalex.org/keywords/computer-science","display_name":"Computer science","score":0.3626929521560669},{"id":"https://openalex.org/keywords/statistics","display_name":"Statistics","score":0.3442386984825134},{"id":"https://openalex.org/keywords/economics","display_name":"Economics","score":0.22420883178710938},{"id":"https://openalex.org/keywords/finance","display_name":"Finance","score":0.16564291715621948}],"concepts":[{"id":"https://openalex.org/C118671147","wikidata":"https://www.wikidata.org/wiki/Q578714","display_name":"Quantile","level":2,"score":0.79957515001297},{"id":"https://openalex.org/C185429906","wikidata":"https://www.wikidata.org/wiki/Q1130160","display_name":"Estimator","level":2,"score":0.7887648344039917},{"id":"https://openalex.org/C19499675","wikidata":"https://www.wikidata.org/wiki/Q232207","display_name":"Monte Carlo method","level":2,"score":0.6953293681144714},{"id":"https://openalex.org/C2780009758","wikidata":"https://www.wikidata.org/wiki/Q6804172","display_name":"Measure (data warehouse)","level":2,"score":0.5325649380683899},{"id":"https://openalex.org/C52740198","wikidata":"https://www.wikidata.org/wiki/Q1539564","display_name":"Importance sampling","level":3,"score":0.5266547203063965},{"id":"https://openalex.org/C62644790","wikidata":"https://www.wikidata.org/wiki/Q3454689","display_name":"Variance reduction","level":3,"score":0.4759809076786041},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.44295862317085266},{"id":"https://openalex.org/C2780821815","wikidata":"https://www.wikidata.org/wiki/Q5340806","display_name":"Portfolio","level":2,"score":0.4395495355129242},{"id":"https://openalex.org/C5496284","wikidata":"https://www.wikidata.org/wiki/Q5420856","display_name":"Expected shortfall","level":3,"score":0.4344819188117981},{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.4291263222694397},{"id":"https://openalex.org/C151201525","wikidata":"https://www.wikidata.org/wiki/Q177239","display_name":"Limit (mathematics)","level":2,"score":0.4247784912586212},{"id":"https://openalex.org/C41008148","wikidata":"https://www.wikidata.org/wiki/Q21198","display_name":"Computer science","level":0,"score":0.3626929521560669},{"id":"https://openalex.org/C105795698","wikidata":"https://www.wikidata.org/wiki/Q12483","display_name":"Statistics","level":1,"score":0.3442386984825134},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.22420883178710938},{"id":"https://openalex.org/C10138342","wikidata":"https://www.wikidata.org/wiki/Q43015","display_name":"Finance","level":1,"score":0.16564291715621948},{"id":"https://openalex.org/C134306372","wikidata":"https://www.wikidata.org/wiki/Q7754","display_name":"Mathematical analysis","level":1,"score":0.0},{"id":"https://openalex.org/C77088390","wikidata":"https://www.wikidata.org/wiki/Q8513","display_name":"Database","level":1,"score":0.0}],"mesh":[],"locations_count":1,"locations":[{"id":"doi:10.1109/wsc.2018.8632308","is_oa":false,"landing_page_url":"https://doi.org/10.1109/wsc.2018.8632308","pdf_url":null,"source":{"id":"https://openalex.org/S4363607834","display_name":"2018 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":"2018 Winter Simulation Conference (WSC)","raw_type":"proceedings-article"}],"best_oa_location":null,"sustainable_development_goals":[{"score":0.6200000047683716,"display_name":"Decent work and economic growth","id":"https://metadata.un.org/sdg/8"}],"awards":[],"funders":[],"has_content":{"pdf":false,"grobid_xml":false},"content_urls":null,"referenced_works_count":0,"referenced_works":[],"related_works":["https://openalex.org/W3111963867","https://openalex.org/W2346600303","https://openalex.org/W2744350573","https://openalex.org/W2113115437","https://openalex.org/W363903320","https://openalex.org/W3125223664","https://openalex.org/W2376074353","https://openalex.org/W2010899721","https://openalex.org/W2103055865","https://openalex.org/W1588024099"],"abstract_inverted_index":{"Economic":[0],"capital":[1,17],"(EC)":[2],"is":[3,48],"a":[4,34,38,42,54,128],"risk":[5],"measure":[6],"that":[7],"has":[8],"been":[9],"used":[10],"by":[11],"financial":[12],"firms":[13],"to":[14,19,21,77,89,113,131],"help":[15],"determine":[16],"levels":[18],"hold":[20],"protect":[22],"(with":[23],"high":[24],"probability)":[25],"against":[26],"large":[27],"unexpected":[28],"losses":[29],"of":[30,59,83,106,135],"credit":[31],"portfolios.":[32],"Given":[33],"stochastic":[35],"model":[36,130],"for":[37,68,103,127],"portfolio's":[39],"loss":[40,61],"over":[41],"given":[43],"time":[44],"horizon,":[45],"the":[46,51,57,60,70,80,84,107,133],"EC":[47],"defined":[49],"as":[50],"difference":[52],"between":[53],"quantile":[55],"and":[56,118],"mean":[58],"distribution.":[62],"We":[63,72,99,123],"describe":[64],"Monte":[65],"Carlo":[66],"methods":[67],"estimating":[69,95],"EC.":[71],"apply":[73],"measure-specific":[74],"importance":[75],"sampling":[76],"separately":[78],"estimate":[79],"two":[81],"components":[82],"EC,":[85,108],"which":[86,109],"can":[87],"lead":[88],"much":[90],"smaller":[91],"variance":[92],"than":[93],"when":[94],"both":[96],"terms":[97],"simultaneously.":[98],"provide":[100],"Bahadur-type":[101],"representations":[102],"our":[104,136],"estimators":[105],"we":[110],"further":[111],"exploit":[112],"establish":[114],"central":[115],"limit":[116],"theorems":[117],"asymptotically":[119],"valid":[120],"confidence":[121],"intervals.":[122],"present":[124],"numerical":[125],"results":[126],"simple":[129],"demonstrate":[132],"effectiveness":[134],"approaches.":[137]},"counts_by_year":[],"updated_date":"2025-11-06T03:46:38.306776","created_date":"2025-10-10T00:00:00"}
