Hsu, Chun-Pin; Huang, Chin-Wen; Chiou, Wan-Jiun - In: Review of Quantitative Finance and Accounting 39 (2012) 4, pp. 447-468
A traditional Monte Carlo simulation using linear correlations induces estimation bias in measuring portfolio value-at-risk (VaR), due to the well-documented existence of fat-tail, skewness, truncations, and non-linear relations in return distributions. In this paper, we consider the above...