Fabozzi, Frank J.; Stoyanov, Stoyan V.; Rachev, Svetlozar T. - In: Studies in Nonlinear Dynamics and Econometrics 17 (2013) 1, pp. 103-120
Abstract Portfolio risk estimation requires appropriate modeling of fat-tails and asymmetries in dependence in combination with a true downside risk measure. In this survey, we discuss computational aspects of a Monte Carlo based framework for risk estimation and risk capital allocation. We...