Efficient simulation of value at risk with heavy-tailed risk factors (Q2893913)
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scientific article; zbMATH DE number 6050628
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Efficient simulation of value at risk with heavy-tailed risk factors |
scientific article; zbMATH DE number 6050628 |
Statements
26 June 2012
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importance sampling
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moderate deviation
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multivariate t distribution
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quadratic approximation
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component VaR
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Efficient simulation of value at risk with heavy-tailed risk factors (English)
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