Importance sampling for calculating the Value-at-Risk and expected shortfall of the quadratic portfolio with t-distributed risk factors
Year of publication: |
2023
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Authors: | Teng, Huei-Wen |
Published in: |
Computational economics. - Dordrecht [u.a.] : Springer Science + Business Media B.V., ISSN 1572-9974, ZDB-ID 1477445-8. - Vol. 62.2023, 3, p. 1125-1154
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Subject: | Expected Shortfall | Importance sampling | Quadratic portfolio | t distribution | Value-at-Risk | Risikomanagement | Risk management | Risikomaß | Risk measure | Portfolio-Management | Portfolio selection | Theorie | Theory | Stichprobenerhebung | Sampling | Statistische Verteilung | Statistical distribution | Monte-Carlo-Simulation | Monte Carlo simulation |
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