A calibrated scenario generation model for heavy-tailed risk factors (Q5427773)
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scientific article; zbMATH DE number 5214621
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A calibrated scenario generation model for heavy-tailed risk factors |
scientific article; zbMATH DE number 5214621 |
Statements
A calibrated scenario generation model for heavy-tailed risk factors (English)
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27 November 2007
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VaR
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VaR CI
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heavy tails
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nonparametric method
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Monte Carlo simulation
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scenario generation
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