A Generic Nonparametric Value-at-Risk Estimator for High Dimensions

By Siyuan Sun

Published 2026-08-19

Everscope rating

1717.1

Relevance to quantitative trading

9 / 10

Implementation complexity

2 / 10

Reproducibility

4 / 5

About this paper

Methodology: Nonparametric Monte Carlo Integration for VaR Estimation. Problem types: Risk Management, Density Estimation, Portfolio Optimization.

arXiv:2608.17481 · Paper rankings

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