Efficient Simulation of Value at Risk with Heavy-Tailed Risk Factors
| Year of publication: |
2011
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|---|---|
| Authors: | Fuh, Cheng-Der ; Hu, Inchi ; Hsu, Ya-Hui ; Wang, Ren-Her |
| Published in: |
Operations research : the journal of the Operations Research Society of America. - Linthicum, Md : INFORMS, ISSN 0030-364X, ZDB-ID 1233890. - Vol. 59.2011, 6, p. 1395-1407
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