Fat tails, expected shortfall and the Monte Carlo method : a note
Michael Brunner; Fabio Piacenza; Fabio Monti; Davide Bazzarello
| Year of publication: |
2009
|
|---|---|
| Authors: | Brunner, Michael ; Piacenza, Fabio ; Monti, Fabio ; Bazzarello, Davide |
| Published in: |
The journal of operational risk. - London : Infopro Digital, ISSN 1744-6740, ZDB-ID 2238989-1. - Vol. 4.2009/10, 1, p. 81-88
|
| Subject: | Operationelles Risiko | Operational risk | Risikomaß | Risk measure | Monte-Carlo-Simulation | Monte Carlo simulation |
| 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/10003848819