Recursive Computation of Value-at-Risk and Conditional Value-at-Risk using MC and QMC (Q3405433)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Recursive Computation of Value-at-Risk and Conditional Value-at-Risk using MC and QMC |
scientific article |
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Recursive Computation of Value-at-Risk and Conditional Value-at-Risk using MC and QMC (English)
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15 February 2010
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VaR
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CVaR
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central limit theorem
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stochastic approximation
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energy portfolio
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importance sampling
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Monte Carlo
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