A multilevel stochastic approximation algorithm for value-at-risk and expected shortfall estimation
Crossref DOI link: https://doi.org/10.1007/s00780-025-00573-5
Published Online: 2025-08-27
Published Print: 2025-10
Update policy: https://doi.org/10.1007/springer_crossmark_policy
Crépey, Stéphane
Frikha, Noufel
Louzi, Azar
Text and Data Mining valid from 2025-08-27
Version of Record valid from 2025-08-27
Article History
Received: 21 March 2023
Accepted: 7 November 2024
First Online: 27 August 2025
Declarations
:
: The authors declare no competing interests.