Hofert, Marius; Memartoluie, Amir; Saunders, David; … - In: Statistics & Risk Modeling 34 (2017) 1-2, pp. 13-31
Abstract Numerical challenges inherent in algorithms for computing worst Value-at-Risk
in homogeneous portfolios are identified and solutions as well as words of
warning concerning their implementation are provided. Furthermore, both
conceptual and computational improvements to the Rearrangement...