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Simulation-based Value-at-Risk for nonlinear portfolios - MaRDI portal

Simulation-based Value-at-Risk for nonlinear portfolios (Q5235455)

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scientific article; zbMATH DE number 7116175
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Simulation-based Value-at-Risk for nonlinear portfolios
scientific article; zbMATH DE number 7116175

    Statements

    title
    Simulation-based Value-at-Risk for nonlinear portfolios (English)
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    author
    Junyao Chen
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    Tony Sit
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    Hoi Ying Wong
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    publication date
    11 October 2019
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    zbMATH Keywords
    value-at-risk
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    least-squares Monte Carlo
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    American-type derivatives
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    high-dimensional portfolios
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    cites work
    Q4433608
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    Q4429917
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    Q4821330
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    Q4114574
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    Q4864293
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    Q3174050
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    Identifiers

    zbMATH DE Number
    7116175
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    OpenAlex ID
    W2952335274
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    arXiv ID
    1904.09088
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