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 …

in latent-variable and other models estimated through simulation-based methods. In both re-parameterizations the …, and discusses the potential comparative advantages of using them in the context of regression modeling and simulation …

The purpose of this paper is to present a comprehensive Monte Carlo simulation study on the performance of minimum …

We develop a simulation algorithm that generates multivariate samples with exact means, covariances, and multivariate … simulation of risk factors for the risk management of financial institutions. We use the Kollo measure of multivariate skewness …