A multilevel stochastic approximation scheme achieves near-optimal complexity of order epsilon^{-2-delta} for VaR and epsilon^{-2}|ln epsilon|^2 for ES in nested risk estimation.
Recursive computation of value-at-risk and condi- tionalvalue-at-riskusingMCandQMC
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A Multilevel Stochastic Approximation Algorithm for Value-at-Risk and Expected Shortfall Estimation
A multilevel stochastic approximation scheme achieves near-optimal complexity of order epsilon^{-2-delta} for VaR and epsilon^{-2}|ln epsilon|^2 for ES in nested risk estimation.