Guharay, Sabyasachi; Chang, KC; Xu, Jie - In: Risks : open access journal 5 (2017) 3, pp. 1-29
Value-at-Risk (VaR) is a well-accepted risk metric in modern quantitative risk management (QRM). The classical Monte Carlo simulation (MCS) approach, denoted henceforth as the classical approach, assumes the independence of loss severity and loss frequency. In practice, this assumption does not...