Risk management for linear and nonlinear assets: a bootstrap method with importance resampling to evaluate value-at-risk (Q2454819)
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scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Risk management for linear and nonlinear assets: a bootstrap method with importance resampling to evaluate value-at-risk |
scientific article |
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Risk management for linear and nonlinear assets: a bootstrap method with importance resampling to evaluate value-at-risk (English)
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22 October 2007
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Bootstrap
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Heavy-tailed
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Importance resampling
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Monte Carlo simulation
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Multivariate normal distribution
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Quadratic approximation
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Value-at-Risk
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Variance reduction
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