A fast Monte Carlo algorithm for estimating value at risk and expected shortfall
Ming-Hua Hsieh, Wei-Cheng Liao, and Chuen-Lung Chen
| Year of publication: |
2014
|
|---|---|
| Authors: | Hsieh, Ming-Hua ; Liao, Wei-Cheng ; Chen, Chuen-Lung |
| Published in: |
The journal of derivatives : the official publication of the International Association of Financial Engineers. - New York, NY : Pageant Media Ltd., ISSN 1074-1240, ZDB-ID 1169004-5. - Vol. 22.2014, 2, p. 50-66
|
| Subject: | Risikomaß | Risk measure | Berechnung | Calculation |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011311418