Efficient randomized quasi-Monte Carlo methods for portfolio market risk

DOI10.1016/j.insmatheco.2017.07.001zbMath1395.91502arXiv1510.01593OpenAlexW2178359960MaRDI QIDQ2404543

İsmail Başoğlu, Halis Sak

Publication date: 19 September 2017

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1510.01593

zbMATH Keywords

importance samplingstratified samplingrisk managementquasi-Monte Carlo\(t\)-copula

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Numerical methods (including Monte Carlo methods) (91G60) Monte Carlo methods (65C05) Portfolio theory (91G10)

Related Items (2)

Efficient algorithms for calculating risk measures and risk contributions in copula credit risk models ⋮ A novel fuzzy dominant goal programming for portfolio selection with systematic risk and non-systematic risk

Uses Software

• R
• randtoolbox
• UNU.RAN
• TOMS659
• TensorFlow

Cites Work

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