Efficient simulation of value at risk with heavy-tailed risk factors
Cheng-Der Fuh; Inchi Hu; Ya-Hui Hsu; Ren-Her Wang
| Year of publication: |
2011
|
|---|---|
| Authors: | Fuh, Cheng-der ; Hu, Inchi ; Hsu, Ya-hui ; Wang, Ren-her |
| Published in: |
Operations research. - Catonsville, MD : INFORMS, ISSN 0030-364X, ZDB-ID 123389-0. - Vol. 59.2011, 6, p. 1395-1406
|
| Subject: | Risikomaß | Risk measure | Simulation | Risiko | Risk | Theorie | Theory | Risikomanagement | Risk management | Statistische Verteilung | Statistical distribution | Portfolio-Management | Portfolio selection |
| Extent: | graph. Darst. |
|---|---|
| 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/10009487167