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Nested Simulation in Portfolio Risk Measurement - MaRDI portal

Nested Simulation in Portfolio Risk Measurement (Q3117320)

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Nested Simulation in Portfolio Risk Measurement
scientific article

    Statements

    title
    Nested Simulation in Portfolio Risk Measurement (English)
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    author
    Michael B. Gordy
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    Sandeep Juneja
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    publication date
    27 February 2012
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    zbMATH Keywords
    nested simulation
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    loss distribution
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    value-at-risk
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    expected shortfall
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    Identifiers

    Mathematics Subject Classification ID
    91G10
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    91B30
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    62P05
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    zbMATH DE Number
    6009413
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    OpenAlex ID
    W3125471937
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