3.284%, respectively. Simulation experiments shows that the OD-NC algorithm is feasible and effective. …

the underlying statistical distributions, a variety of analyticalmethods and simulation-based methods are available. Aside … orhistorical and Monte Carlo simulation methods. Although these approaches to overall VaR estimation have receivedsubstantial … and incremental VaR in either a non-normal analytical setting or a MonteCarlo / historical simulation context.This paper …

not too rare to be found by a reasonable mutation process, and that typical simulation paths take the population from …