Risk Management for Linear and Non-Linear Assets: A Bootstrap Method with Importance Resampling to Evaluate Value-at-Risk
| Year of publication: |
2006
|
|---|---|
| Authors: | Lin, Shih-Kuei ; Wang, Ren-Her ; Fuh, Cheng-Der |
| Published in: |
Asia-Pacific Financial Markets. - Springer, ISSN 1387-2834. - Vol. 13.2006, 3, p. 261-295
|
| Publisher: |
Springer |
| Subject: | Bootstrap | Heavy-tailed | Importance resampling | Monte Carlo simulation | Multivariate normal distribution | Multivariate t distribution | Quadratic approximation | Value-at-Risk | Variance reduction |
| Extent: | text/html |
|---|---|
| Type of publication: | Article |
| Source: |
Persistent link: https://www.econbiz.de/10005684903