Monte Carlo and importance sampling estimators of CoVaR
Guangxin Jiang, Jianshu Hao, Tong Sun
| Year of publication: |
2025
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|---|---|
| Authors: | Jiang, Guangxin ; Hao, Jianshu ; Sun, Tong |
| Published in: |
Operations research letters : a journal of INFORMS devoted to the rapid publication of concise contributions in operations research. - Amsterdam [u.a.] : Elsevier Science, ISSN 0167-6377, ZDB-ID 1467065-3. - Vol. 60.2025, Art.-No. 107250, p. 1-7
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| Subject: | Asymptotic normality | Consistency | CoVaR | Importance sampling | Monte Carlo simulation | Monte-Carlo-Simulation | Stichprobenerhebung | Sampling | Schätztheorie | Estimation theory | Simulation | Risikomaß | Risk measure |
Online Resource
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.orl.2025.107250 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10015359125