A sequential importance sampling for estimating multi-period tail risk
Year of publication: |
2024
|
---|---|
Authors: | Seo, Ye-Ji ; Kim, Sunggon |
Subject: | multi-period tail risk | crude Monte Carlo simulation | sequential importance sampling | Monte-Carlo-Simulation | Monte Carlo simulation | Stichprobenerhebung | Sampling | Risikomaß | Risk measure | Statistische Verteilung | Statistical distribution | Simulation | Schätztheorie | Estimation theory | Maximum-Likelihood-Schätzung | Maximum likelihood estimation | Risiko | Risk |
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