Monte Carlo methods for economic capital
Year of publication: |
2024
|
---|---|
Authors: | Li, Yajuan ; Kaplan, Zachary T. ; Nakayama, Marvin K. |
Published in: |
INFORMS journal on computing : JOC ; charting new directions in operations research and computer science ; a journal of the Institute for Operations Research and the Management Sciences. - Linthicum, Md. : INFORMS, ISSN 1526-5528, ZDB-ID 2004082-9. - Vol. 36.2024, 1, p. 266-284
|
Subject: | economic capital | importance sampling | value-at-risk | Risikomanagement | Risk management | Monte-Carlo-Simulation | Monte Carlo simulation | Risikomaß | Risk measure | Stichprobenerhebung | Sampling |
-
A new variance reduction technique for estimating value-at-risk
Korn, Ralf, (2015)
-
Teng, Huei-Wen, (2023)
-
Variance reduction for risk measures with importance sampling in nested simulation
Xing, Yue, (2022)
- More ...
-
Impacts of playing after school on academic performance : a propensity score matching approach
Li, Yajuan, (2017)
-
Investigating the effects of medical marijuana laws on educational attainment
Li, Yajuan, (2018)
-
Li, Yajuan, (2019)
- More ...