Importance sampling for calculating the Value-at-Risk and expected shortfall of the quadratic portfolio with t-distributed risk factors
Huei-Wen Teng
| Year of publication: |
2023
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|---|---|
| Authors: | Teng, Huei-Wen |
| Subject: | Expected Shortfall | Importance sampling | Quadratic portfolio | t distribution | Value-at-Risk | Risikomaß | Risk measure | Portfolio-Management | Portfolio selection | Stichprobenerhebung | Sampling | Theorie | Theory | Risikomanagement | Risk management | Statistische Verteilung | Statistical distribution | Risiko | Risk |
Online Resource
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1007/s10614-022-10294-y [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014382887