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  • Search: subject:"Random orthogonal matrix"
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Year of publication
Subject
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Simulation 3 Basel II 2 Computational efficiency 2 Market risk capital 2 Random orthogonal matrix 2 Rotation matrix 2 Stressed VaR 2 Value-at-Risk 2 Bank risk 1 Bankrisiko 1 Basel Accord 1 Basler Akkord 1 L matrices 1 L matrix 1 Ledermann matrix 1 Market risk 1 Marktrisiko 1 Random Orthogonal Matrix (ROM) 1 Random orthogonal matrix (ROM) 1 Risikomanagement 1 Risikomaß 1 Risk management 1 Risk measure 1 Stress test 1 Stresstest 1 VAR model 1 VAR-Modell 1
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Online availability
All
Free 3 Undetermined 1
Type of publication
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Book / Working Paper 3 Article 1
Type of publication (narrower categories)
All
Arbeitspapier 1 Graue Literatur 1 Non-commercial literature 1 Working Paper 1
Language
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Undetermined 3 English 1
Author
All
Ledermann, Daniel 4 Alexander, Carol 3
Institution
All
Henley Business School, University of Reading 2
Published in...
All
ICMA Centre Discussion Papers in Finance 2 Discussion paper / ICMA Centre, Henley Business School, University of Reading 1 Mathematics and Computers in Simulation (MATCOM) 1
Source
All
RePEc 3 ECONIS (ZBW) 1
Showing 1 - 4 of 4
Cover Image
ROM Simulation: Applications to Stress Testing and VaR
Alexander, Carol; Ledermann, Daniel - Henley Business School, University of Reading - 2012
Most banks employ historical simulation for Value-at-Risk (VaR) calculations, where VaR is computed from a lower quantile of a forecast distribution for the portfolio’s profit and loss (P&L) that is constructed from a single, multivariate historical sample on the portfolio’s risk factors....
Persistent link: https://ebvufind01.dmz1.zbw.eu/10010838048
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Cover Image
ROM simulation : applications to stress testing and VaR
Alexander, Carol; Ledermann, Daniel - 2012
Persistent link: https://ebvufind01.dmz1.zbw.eu/10009722161
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Cover Image
ROM Simulation with Rotation Matrices
Ledermann, Daniel - Henley Business School, University of Reading - 2011
This paper explores the properties of random orthogonal matrix (ROM) simulation when the random matrix is drawn from …
Persistent link: https://ebvufind01.dmz1.zbw.eu/10011206321
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Cover Image
Further properties of random orthogonal matrix simulation
Ledermann, Daniel; Alexander, Carol - In: Mathematics and Computers in Simulation (MATCOM) 83 (2012) C, pp. 56-79
Random orthogonal matrix (ROM) simulation is a very fast procedure for generating multivariate random samples that …
Persistent link: https://ebvufind01.dmz1.zbw.eu/10010870086
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