assumptions on the underlying statistical distributions, a variety of analytical methods and simulation-based methods are … distribution specifications or historical and Monte Carlo simulation methods. Although these approaches to overall VaR estimation … simulation context.<BR> This paper tries to fill this gap by investigating these VaR concepts in a general distribution …

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 …

Adaptive Polar Sampling (APS) is proposed as a Markov chain Monte Carlomethod for Bayesian analysis of models with ill … the location and scale.Tested on a set of canonical models that feature nearnon-identifiability, strong correlation, and …

The papers in this special issue of Mathematics and Computers in Simulation cover the following topics: improving …, globalization, and innovation: a general equilibrium simulation, whether exchange rates affect consumer prices: a comparative …

Adaptive Polar Sampling (APS) is proposed as a Markov chain Monte Carlo method for Bayesian analysis of models with ill … is applied to update the location and scale.<BR> Tested on a set of canonical models that feature near non …