Simulation-based Value-at-Risk for nonlinear portfolios
Junyao Chen, Tony Sit and Hoi Ying Wong
| Year of publication: |
2019
|
|---|---|
| Authors: | Chen, Junyao ; Sit, Tony ; Wong, Hoi Ying |
| Subject: | American-type derivatives | High-dimensional portfolios | Least-squares Monte Carlo | Value-at-risk | Risikomaß | Risk measure | Portfolio-Management | Portfolio selection | Monte-Carlo-Simulation | Monte Carlo simulation | Derivat | Derivative | Simulation | ARCH-Modell | ARCH model | Optionspreistheorie | Option pricing theory | Kleinste-Quadrate-Methode | Least squares method |
Online Resource
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/14697688.2019.1598568 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012194812