A fast Monte Carlo algorithm for estimating value at risk and expected shortfall
Year of publication: |
2014
|
---|---|
Authors: | Hsieh, Ming-Hua ; Liao, Wei-Cheng ; Chen, Chuen-Lung |
Published in: |
The journal of derivatives : the official publication of the International Association of Financial Engineers. - New York, NY : Pageant Media Ltd., ISSN 1074-1240, ZDB-ID 1169004-5. - Vol. 22.2014, 2, p. 50-66
|
Subject: | Risikomaß | Risk measure | Berechnung | Calculation |
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