Showing 1 - 10 of 60
Persistent link: https://www.econbiz.de/10009690387
Persistent link: https://www.econbiz.de/10009708114
Persistent link: https://www.econbiz.de/10010490407
Persistent link: https://www.econbiz.de/10009673712
Persistent link: https://www.econbiz.de/10009272505
Persistent link: https://www.econbiz.de/10009405707
Risk measurement for derivative portfolios almost invariably calls for nested simulation. In the outer step one draws realizations of all risk factors up to the horizon, and in the inner step one re-prices each instrument in the portfolio at the horizon conditional on the drawn risk factors....
Persistent link: https://www.econbiz.de/10003830048
Persistent link: https://www.econbiz.de/10001601694
Persistent link: https://www.econbiz.de/10001607147
Persistent link: https://www.econbiz.de/10001573187