A new variance reduction technique for estimating value-at-risk
Ralf Korn & Mykhailo Pupashenko
| Year of publication: |
2015
|
|---|---|
| Authors: | Korn, Ralf ; Pupashenko, Mykhailo |
| Published in: |
Applied mathematical finance. - Abingdon : Routledge, Taylor & Francis Group, ISSN 1350-486X, ZDB-ID 1282409-4. - Vol. 22.2015, 1/2, p. 83-98
|
| Subject: | Value-at-Risk | Monte Carlo simulation | variance reduction | importance sampling | stratified sampling | Monte-Carlo-Simulation | Risikomaß | Risk measure | Stichprobenerhebung | Sampling | Varianzanalyse | Analysis of variance | Schätztheorie | Estimation theory |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10010505164