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 |
| Published in: |
Quantitative finance. - London : Taylor & Francis, ISSN 1469-7696, ZDB-ID 2027557-2. - Vol. 19.2019, 10, p. 1639-1658
|
| Subject: | American-type derivatives | High-dimensional portfolios | Least-squares Monte Carlo | Value-at-risk | Monte-Carlo-Simulation | Monte Carlo simulation | Risikomaß | Risk measure | Portfolio-Management | Portfolio selection | Derivat | Derivative | Simulation | Optionspreistheorie | Option pricing theory |
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